Convergence and Approximation of Option Rewards for Multivariate Price Processes
In: Research Reports MDH/UKK, 2009
Online
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Zugriff:
Multivariate Markov price processes and American type options for such processes with generalpayoff functions with not more than polynomial rate of growth are considered. Convergence results are obtainedfor optimal reward functionals of American type options for perturbed multivariateMarkov processes and payoff functions. These results are applied to approximation tree type algorithmsfor American type options for exponential diffusion type priceprocesses including mean-reverse stochastic processesused to model stochastic dynamics of energy prices.
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Convergence and Approximation of Option Rewards for Multivariate Price Processes
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Autor/in / Beteiligte Person: | Lundgren, Robin ; Silvestrov, Dmitrii |
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Zeitschrift: | Research Reports MDH/UKK, 2009 |
Veröffentlichung: | 2009 |
Medientyp: | unknown |
ISSN: | 1404-4978 (print) |
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