scientific article; zbMATH DE number 7596554

MaRDI QIDQ5043554

Tomasz Klimsiak, Andrzej Rozkosz

Publication date: 6 October 2022

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

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

rate of convergenceAmerican optionoptimal stopping problemnonlinear expectationtime asymptotics

Mathematics Subject Classification ID

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

Cites Work

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