Error bounds and convergence for American put option pricing based on translation-invariant Markov chains.

MaRDI QIDQ3427342zbMATH OpenFDO

Authors Frederik Herzberg

Publication date 19 March 2007

Full work available at URL https://arxiv.org/abs/math/0601468, http://www.shaker.de/de/content/catalogue/index.asp?lang=de&ID=8&ISBN=978-3-8322-5790-3

zbMATH Keywords

American and Bermudan optionscubatureerror boundsMarkov chainsMarkovian market models

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Error estimates for approximations of American put option price
• American Option Valuation under Continuous-Time Markov Chains
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• Error estimates for the binomial approximation of American put options
• scientific article; zbMATH DE number 1222792

Cited in

(2)

• Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain
• Error analysis of finite difference and Markov chain approximations for option pricing

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