Functional convergence of Snell envelopes: Applications to American options approximations
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References listed on IDEAS
- Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- RØdiger Frey, 2000. "Superreplication in stochastic volatility models and optimal stopping," Finance and Stochastics, Springer, vol. 4(2), pages 161-187.
- Dietmar P.J. Leisen, 1997. "The Random-Time Binomial Model," Finance 9711005, EconWPA, revised 29 Nov 1998.
- repec:dau:papers:123456789/5374 is not listed on IDEAS
- Yan Dolinsky, 2009. "Applications of weak convergence for hedging of game options," Papers 0908.3661, arXiv.org, revised Nov 2010.
- Szimayer, Alex & Maller, Ross A., 2007. "Finite approximation schemes for Lévy processes, and their application to optimal stopping problems," Stochastic Processes and their Applications, Elsevier, vol. 117(10), pages 1422-1447, October.
- Blanka Horvath & Antoine Jacquier & Aitor Muguruza, 2017. "Functional central limit theorems for rough volatility," Papers 1711.03078, arXiv.org, revised Nov 2017.
- Leisen, Dietmar P. J., 1999. "The random-time binomial model," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1355-1386, September.
More about this item
KeywordsAmerican options; Snell envelopes; convergence in distribution; optimal stopping times;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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