scientific article; zbMATH DE number 7596554

MaRDI QIDQ5043554FDOQ5043554

Authors: 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 (2)

• Asymptotic behaviour of the value function of an American type perpetual contingent claim in the Lévy model at infinite expansion of the time interval
• On the strict value of the non-linear optimal stopping problem

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