Error estimates for multinomial approximations of American options in a class of jump diffusion models
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Publication:3108370
DOI10.1080/17442508.2010.515309zbMath1233.91265arXiv1004.1575OpenAlexW2153340666MaRDI QIDQ3108370
Publication date: 3 January 2012
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.1575
Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Cites Work
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- Error estimates for binomial approximations of game options
- Approximation theorems for independent and weakly dependent random vectors
- Functional convergence of Snell envelopes: Applications to American options approximations
- Applications of weak convergence for hedging of game options
- Optimal stopping and embedding
- A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
- Game options
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