6 Time-space-skeleton reward approximations for Markov LPP

In Chapter 6, we presents results about convergence of time-skeleton and time-space-skeleton reward approximations for continuous time multivariate modulated Markov log-price processes. Time-skeleton approximating log-price processes are obtained by discretization in time of continuous time log-price processes, while time-space-skeleton approximating log-price processes are obtained by two-step discretization, first in time and second in space (of log-prices) of continuous time log-price processes.

As the result, we get approximations of rewards for a multivariate modulated Markov log-price process by the corresponding rewards for American type options for multivariate modulated atomic ...

Get American-Type Options now with O’Reilly online learning.

O’Reilly members experience live online training, plus books, videos, and digital content from 200+ publishers.