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Convergence of option rewards for Markov type price processes 2007 (English)In: Theory of Stochastic Processes, ISSN 0321-3900, Vol. 13(29), no 4, p. 189-200Article in journal (Other (popular science, discussion, etc.)) Published

Abstract [en]

General condition of convergence are given for optimal rewards of American type options for perturbed Markopv type price processes controlled by market stochastic indices

Place, publisher, year, edition, pages

2007. Vol. 13(29), no 4, p. 189-200

Keywords [en]

Markov price process, stochstic index, American option, convergence, optimal option reward

National Category

Probability Theory and Statistics

Identifiers

URN: urn:nbn:se:mdh:diva-2949OAI: oai:DiVA.org:mdh-2949DiVA, id: diva2:115612

Available from: 2008-02-29 Created: 2008-02-29 Last updated: 2025-10-10Bibliographically approved

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Silvestrov, D.

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Silvestrov, D.

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Department of Mathematics and Physics

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Probability Theory and Statistics

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