Optimal stopping and embedding

Damien Lamberton · L. C. G. Rogers

22 citations0/0 files storedJournal of Applied Probability

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

Abstract

We use embedding techniques to analyse the error of approximation of an optimal stopping problem along Brownian paths when Brownian motion is approximated by a random walk.

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References

1999Continuous Martingales and Brownian Motion 1977Probability Methods for Approximations in Stochastic Control and for Elliptic Equations 1998Error estimates for the binomial approximation of American put options

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2009Optimal stopping and American options 2007On the rate of convergence of the binomial tree scheme for American options 2006Error estimates for binomial approximations of game options 2010Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries

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