5 Time-skeleton reward approximations for Markov LPP
In Chapter 5, we presents our main results about time-skeleton reward approximations for continuous time multivariate modulated Markov log-price processes.
We give asymptotically uniform explicit upper bounds for distance between optimal expected rewards and reward functions for American-type options with general pay-off functions and multivariate modulated Markov log-price processes and optimal expected rewards and reward functions for American-type options with general pay-off functions and embedded discrete time modulated Markov log-price processes based on skeleton partitions of time interval. These upper bounds play a key role in getting results about convergence of reward approximation ...
Get American-Type Options now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
