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Discrete approximation of finite-horizon American-style options - MaRDI portal

Discrete approximation of finite-horizon American-style options (Q2466765)

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Discrete approximation of finite-horizon American-style options
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    title
    Discrete approximation of finite-horizon American-style options (English)
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    publication date
    16 January 2008
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    Mathematics Subject Classification ID
    91B28
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    60G40
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    60H10
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    60H30
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    zbMATH DE Number
    5227309
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    zbMATH Keywords
    complete markets
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    American-style options
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    optimal stopping problem
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    Escher transformation
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    author
    Roman V. Ivanov
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    OpenAlex ID
    W1971138024
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