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Convergence of option rewards for Markov type price processes
Mälardalen University, Department of Mathematics and Physics.ORCID iD: 0000-0002-2626-5598
Mälardalen University, Department of Mathematics and Physics.
Mälardalen University, Department of Mathematics and Physics.
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: 2017-02-15Bibliographically approved

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Silvestrov, D.

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CiteExportLink to record
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