Convergence of option rewards for Markov type price processes modulated by stochastic indices. II
DOI10.1090/S0094-9000-2010-00802-7zbMath1224.91200MaRDI QIDQ5391418
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Publication date: 6 April 2011
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
convergenceoptimal stoppingMarkov processmodulationAmerican optionskeleton approximationrewardprice processstochastic index
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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