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Convergence of option rewards for multivariate price processes
Stockholm University, Faculty of Science, Department of Mathematics.
2012 (English)In: Theory of probability and mathematical statistics, ISSN 1547-7363, Vol. 85, p. 115-131Article in journal (Refereed) Published
Abstract [en]

American type options with general payoff functions possessing polynomial rate of growth are considered for multivariate Markov price processes. Convergence results for optimal reward functionals of American type options for perturbed multivariate Markov processes are presented. These results are applied to approximation tree type algorithms for American type options for exponential multivariate Brownian price processes and mean-reverse price processes used to model stochastic dynamics of energy prices.

Place, publisher, year, edition, pages
2012. Vol. 85, p. 115-131
Keywords [en]
American option, convergence of option rewards, binomial-trinomial tree approximation, optimal stopping, skeleton approximation, multivariate Markov price process
National Category
Probability Theory and Statistics
Research subject
Mathematical Statistics
Identifiers
URN: urn:nbn:se:su:diva-43781DOI: 10.1090/S0094-9000-2013-00879-5OAI: oai:DiVA.org:su-43781DiVA, id: diva2:359390
Conference
International Conference “Modern Stochastics: Theory and Applications II”, Kyiv, Ukraine, September 7–11, 2010
Available from: 2010-10-27 Created: 2010-10-27 Last updated: 2018-01-25Bibliographically approved

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CiteExportLink to record
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