Convergence of option rewards for Markov type price processes modulated by stochastic indices. I

DOI10.1090/S0094-9000-09-00776-5zbMath1224.91199OpenAlexW4241948853MaRDI QIDQ5391403

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Publication date: 6 April 2011

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0094-9000-09-00776-5

zbMATH Keywords

convergenceoptimal stoppingMarkov processmodulationAmerican optionskeleton approximationrewardprice processstochastic index

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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