Reselling of options and convergence of option rewards

MaRDI QIDQ3607217zbMATH OpenFDO

Authors R. Lundgren, D. S. Silvestrov, A. Kukush

Publication date 28 February 2009

zbMATH Keywords

convergenceMarkov processAmerican optionoptimal stoppingEuropean optionskeleton approximationrewardreselling problembinomial-trinomial approximation

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70)

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(5)

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