Convergence of option rewards for multivariate price processes

DOI10.1090/S0094-9000-2013-00879-5zbMath1274.91443OpenAlexW2067031090MaRDI QIDQ2849283

Dmitrii S. Silvestrov, Robin Lundgren

Publication date: 17 September 2013

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

Full work available at URL: https://doi.org/10.1090/s0094-9000-2013-00879-5

zbMATH Keywords

convergenceoptimal stoppingAmerican optionskeleton approximationrewardexponential multivariate Brownian price processMarkov-type price processmean-reverse price process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Optimal Stopping and Reselling of European Options ⋮ Convergence of option rewards for multivariate price processes

Uses Software

• OptAn

Cites Work

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