scientific article; zbMATH DE number 7596554

MaRDI QIDQ5043554FDOQ5043554

Tomasz Klimsiak, Andrzej Rozkosz

Publication date: 6 October 2022

Full work available at URL: https://arxiv.org/abs/2004.08197

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zbMATH Keywords

rate of convergenceAmerican optionoptimal stopping problemnonlinear expectationtime asymptotics

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited In (1)

• On the strict value of the non-linear optimal stopping problem

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