Convergence of option rewards for multivariate price processes
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Publication:2849283
DOI10.1090/S0094-9000-2013-00879-5zbMath1274.91443OpenAlexW2067031090MaRDI QIDQ2849283
Dmitrii S. Silvestrov, Robin Lundgren
Publication date: 17 September 2013
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/s0094-9000-2013-00879-5
convergenceoptimal stoppingAmerican optionskeleton approximationrewardexponential multivariate Brownian price processMarkov-type price processmean-reverse price process
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
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Optimal Stopping and Reselling of European Options ⋮ Convergence of option rewards for multivariate price processes
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Cites Work
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