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: Communications on Stochastic Analysis
سال: 2011
ISSN: 0973-9599
DOI: 10.31390/cosa.5.3.04