Reselling of options and convergence of option rewards

zbMATH Open1164.60054MaRDI QIDQ3607217FDOQ3607217

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

Publication date: 28 February 2009

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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)

Cited In (5)

• Optimal stopping and reselling of European options
• Title not available (Why is that?)
• On reselling of European option
• Convergence of reward functionals in a reselling model for a European option
• Convergence of option rewards for multivariate price processes

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