2.5.2 Convergence of option reward functions for space skeleton approximations of modulated autoregressive conditional heteroskedastic log-priceprocesses

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In this case, we consider pay-of functions , which are real-valued measurable functions assumed to satisfy condition , for some vector parameter with non-negative components.

Let us be the class of all stopping times τ_0,n for the process Z_n = (Y_n

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