A Weak Convergence for Approximation of American Option Prices
نویسندگان
چکیده
منابع مشابه
Weak Convergence for Approximation of American Option Prices
Based on a sequence of discretized American option price processes under the multinomial model proposed by Maller, Solomon and Szimayer [12], the sequence converges to the counterpart under the original Lévy process in distribution for almost all time. By adapting Skorokhod representation theorem, a new sequence of approximating processes with the s ame laws with the multinomial tree model defi...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1549627