Convergence of option rewards for Markov type price processes
A general price process represented by a two-component Markov process is considered. Its first component is interpreted as a price process and the second one as an index process controlling the price component. American type options with pay-off functions, which admit power type upper bounds, are stu...
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Date: | 2007 |
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Main Authors: | Silvestrov, D., Jönsson, H., Stenberg, F. |
Format: | Article |
Language: | English |
Published: |
Інститут математики НАН України
2007
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Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/4523 |
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Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
Cite this: | Convergence of option rewards for Markov type price processes / D. Silvestrov, H. Jönsson, F. Stenberg // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 189–200. — Бібліогр.: 29 назв.— англ. |
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