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

cubatureerror boundsMarkov chainsAmerican and Bermudan optionsMarkovian market models

Mathematics Subject Classification ID

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

Recommendations

• Error estimates for approximations of American put option price
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• scientific article; zbMATH DE number 1222792

Cited in

(2)

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

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