Convergence of option rewards for Markov type price processes

MaRDI QIDQ3608289zbMATH OpenFDO

Authors

Publication date 28 February 2009

zbMATH Keywords

American optionconvergenceoptimal stoppingrewardskeleton approximation Markov type price processstochastic index

Mathematics Subject Classification ID

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

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Cited in

(6)

• When does convergence of asset price processes imply convergence of option prices?
• Stochastic approximation methods for American type options
• Convergence of option rewards for multivariate price processes
• Limit theorems for prices of options written on semi-Markov processes
• Convergence of option rewards for Markov type price processes modulated by stochastic indices. I
• Convergence of option rewards for Markov type price processes modulated by stochastic indices. II

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