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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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Bibliographic Details
Date:	2007
Main Authors:	Silvestrov, D., Jönsson, H., Stenberg, F.
Format:	Article
Language:	English
Published:	Інститут математики НАН України 2007
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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Digital Library of Periodicals of National Academy of Sciences of Ukraine

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