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 ...
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