On the convergence from discrete to continuous time in an optimal stopping problem.

DOI10.1214/105051605000000034zbMath1138.93066arXivmath/0505241OpenAlexW1963484817MaRDI QIDQ558676

Paul Dupuis, Hui Wang

Publication date: 13 July 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0505241

zbMATH Keywords

rate of convergenceoptimal stoppingdiffusion processdiscrete timelocal timecontinuous time

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Optimal stochastic control (93E20) Stochastic learning and adaptive control (93E35) Local time and additive functionals (60J55)

Related Items

Optimal Stopping and Reselling of European Options, On the Fourier cosine series expansion method for stochastic control problems, Regression-Based Complexity Reduction of the Nested Monte Carlo Methods, Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes, Exercisability Randomization of the American Option, Convergence of the approximation scheme to American option pricing via the discrete Morse semiflow, Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?, State-dependent importance sampling for regularly varying random walks, On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems, Pricing Asset Scheduling Flexibility using Optimal Switching, FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY, Stochastic approximation methods for American type options, Convergence of option rewards for multivariate price processes, A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the theory of option pricing
• On the pricing of American options
• The pricing of the American option
• Error estimates for the binomial approximation of American put options
• Choosing among alternative discrete investment projects under uncertainty
• Pricing American-style securities using simulation
• Brownian optimal stopping and random walks
• Irreversible investment in alternative projects
• On the optimal stopping problem for one-dimensional diffusions.
• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• Optimal Stopping of One-Dimensional Diffusions
• Optimal Stopping and the American Put