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Convergence of option rewards for multivariate price processes
Stockholm University, Faculty of Science, Department of Mathematics.
2009 (English)Report (Other academic)
Abstract [en]

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: Department of Mathematics, Stockholm University , 2009. , 53 p.
Series
Research report / Mathematical Statistics, ISSN 1650-0377 ; 2009:10
National Category
Probability Theory and Statistics
Research subject
Mathematical Statistics
Identifiers
URN: urn:nbn:se:su:diva-45716OAI: oai:DiVA.org:su-45716DiVA: diva2:369409
Available from: 2010-11-10 Created: 2010-11-10 Last updated: 2017-11-21Bibliographically approved

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CiteExportLink to record
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