On the convergence from discrete to continuous time in an optimal stopping problem.
From MaRDI portal
(Redirected from Publication:558676)
Abstract: We consider the problem of optimal stopping for a one-dimensional diffusion process. Two classes of admissible stopping times are considered. The first class consists of all nonanticipating stopping times that take values in [0,infty], while the second class further restricts the set of allowed values to the discrete grid {nh:n=0,1,2,...,infty} for some parameter h>0. The value functions for the two problems are denoted by V(x) and V^h(x), respectively. We identify the rate of convergence of V^h(x) to V(x) and the rate of convergence of the stopping regions, and provide simple formulas for the rate coefficients.
Recommendations
- scientific article; zbMATH DE number 5030138
- Discrete time approximations of continuous time finite horizon stopping problems
- On a class of optimal stopping problems for diffusions with discontinuous coefficients
- Convergence of values in optimal stopping and convergence of optimal stopping times
- Discrete-type approximations for non-Markovian optimal stopping problems. I
Cites work
- scientific article; zbMATH DE number 3878095 (Why is no real title available?)
- scientific article; zbMATH DE number 44587 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 3607222 (Why is no real title available?)
- scientific article; zbMATH DE number 739283 (Why is no real title available?)
- scientific article; zbMATH DE number 1055921 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 1869269 (Why is no real title available?)
- scientific article; zbMATH DE number 273338 (Why is no real title available?)
- scientific article; zbMATH DE number 3233089 (Why is no real title available?)
- Brownian optimal stopping and random walks
- Choosing among alternative discrete investment projects under uncertainty
- Error estimates for the binomial approximation of American put options
- Irreversible investment in alternative projects
- On the optimal stopping problem for one-dimensional diffusions.
- On the pricing of American options
- On the theory of option pricing
- Optimal Stopping and the American Put
- Optimal Stopping of One-Dimensional Diffusions
- Pricing American-style securities using simulation
- Some optimal stopping problems with nontrivial boundaries for pricing exotic options
- The pricing of the American option
Cited in
(24)- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
- On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
- On a discretization procedure for the stopping time problem
- State-dependent importance sampling for regularly varying random walks
- The convergence rate from discrete to continuous optimal investment stopping problem
- Optimal stopping and reselling of European options
- Convergence of the approximation scheme to American option pricing via the discrete Morse semiflow
- Convergence of option rewards for multivariate price processes
- A European option general first-order error formula
- Note on the (non-)smoothness of discrete time value functions in optimal stopping
- Discrete-type approximations for non-Markovian optimal stopping problems. I
- Regression-based complexity reduction of the nested Monte Carlo methods
- On the Fourier cosine series expansion method for stochastic control problems.
- Stochastic approximation methods for American type options
- FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY
- Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
- Discrete time approximations of continuous time finite horizon stopping problems
- Discontinuous solutions of deterministic optimal stopping time problems
- Exercisability Randomization of the American Option
- On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
- Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
- scientific article; zbMATH DE number 5848599 (Why is no real title available?)
- ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
- Pricing Asset Scheduling Flexibility using Optimal Switching
This page was built for publication: On the convergence from discrete to continuous time in an optimal stopping problem.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q558676)
