Convergence of option rewards for multivariate price processes
2009 (English)Report (Other academic)
American type options with general payoff functions with not more than polynomial rate of growth are considered for multivariate Markov price processes. Convergence results are obtained for optimal reward functionals of American type options for perturbed multivariate Markov processes. These results are applied to approximation tree type algorithms for American type options for exponential diffusion type price processes. Applications to mean-reverse stochastic processes used to model stochastic dynamics of energy prices are presented. Also applications to reselling of European options are given.
Place, publisher, year, edition, pages
Stockholm: Stockholm University , 2009. , 53 p.
Probability Theory and Statistics
Research subject Mathematical Statistics
IdentifiersURN: urn:nbn:se:su:diva-45716OAI: oai:DiVA.org:su-45716DiVA: diva2:369409