4 Upper bounds for option rewards for Markov LPP

In Chapter 4, we give upper bounds for rewards of American-type options for continuous time multivariate modulated Markov log-price processes.

We consider models of options with pay-off functions, which have not more than polynomial rate of growth in price arguments and multivariate modulated Markov log-price processes.

In Section 4.1, we give upper bounds for exponential moments of supremums for multivariate modulated Markov log-price processes and upper bounds for optimal expected rewards and reward functions for American-type options for multivariate modulated Markov log-price processes.

In Section 4.2, we analyze and present different variants of asymptotically uniform conditions of exponential ...

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