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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| Format: | Article |
| Language: | English |
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Інститут математики НАН України
2007
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| Online Access: | https://nasplib.isofts.kiev.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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Silvestrov, D. Jönsson, H. Stenberg, F. 2009-11-24T15:37:10Z 2009-11-24T15:37:10Z 2007 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. 0321-3900 https://nasplib.isofts.kiev.ua/handle/123456789/4523 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 studied. Both the transition characteristics of the price processes and the pay-off functions are assumed to depend on a perturbation parameter δ ≥ 0 and to converge to the corresponding limit characteristics as δ → 0. Results about the convergence of reward functionals for American type options for perturbed processes are presented for models with continuous and discrete time as well as asymptotically uniform skeleton approximations connecting reward functionals for continuous and discrete time models. en Інститут математики НАН України Convergence of option rewards for Markov type price processes Article published earlier |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| title |
Convergence of option rewards for Markov type price processes |
| spellingShingle |
Convergence of option rewards for Markov type price processes Silvestrov, D. Jönsson, H. Stenberg, F. |
| title_short |
Convergence of option rewards for Markov type price processes |
| title_full |
Convergence of option rewards for Markov type price processes |
| title_fullStr |
Convergence of option rewards for Markov type price processes |
| title_full_unstemmed |
Convergence of option rewards for Markov type price processes |
| title_sort |
convergence of option rewards for markov type price processes |
| author |
Silvestrov, D. Jönsson, H. Stenberg, F. |
| author_facet |
Silvestrov, D. Jönsson, H. Stenberg, F. |
| publishDate |
2007 |
| language |
English |
| publisher |
Інститут математики НАН України |
| format |
Article |
| description |
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 studied. Both the transition characteristics of the price processes and the pay-off functions are assumed to depend on a perturbation parameter δ ≥ 0 and to converge to the corresponding limit characteristics as δ → 0. Results about the convergence of reward functionals for American type options for perturbed processes are presented for models with continuous and discrete time as well as asymptotically uniform skeleton approximations connecting reward functionals for continuous and discrete time models.
|
| issn |
0321-3900 |
| url |
https://nasplib.isofts.kiev.ua/handle/123456789/4523 |
| citation_txt |
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. |
| work_keys_str_mv |
AT silvestrovd convergenceofoptionrewardsformarkovtypepriceprocesses AT jonssonh convergenceofoptionrewardsformarkovtypepriceprocesses AT stenbergf convergenceofoptionrewardsformarkovtypepriceprocesses |
| first_indexed |
2025-12-07T19:51:29Z |
| last_indexed |
2025-12-07T19:51:29Z |
| _version_ |
1850880389217779712 |