Convergence of reward functionals in a reselling model for a European option

DOI10.1090/S0094-9000-2012-00847-8zbMath1252.60064MaRDI QIDQ2890728

Mykhailo Pupashenko

Publication date: 11 June 2012

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

zbMATH Keywords

convergencediscrete approximationoptimal stopping timeAmerican optionEuropean optionCox-Ingersoll-Ross processrewardreselling problem

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A Theory of the Term Structure of Interest Rates
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