Functional convergence of Snell envelopes: Applications to American options approximations (Q1387771)
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scientific article; zbMATH DE number 1160490
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Functional convergence of Snell envelopes: Applications to American options approximations |
scientific article; zbMATH DE number 1160490 |
Statements
Functional convergence of Snell envelopes: Applications to American options approximations (English)
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27 January 1999
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optimal stopping times
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stability
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Snell envelope
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convergence in distribution
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stochastic processes
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American options prices
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optimal hedging portfolio
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