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CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE- TO CONTINUOUS-TIME FINANCIAL MODELS (1994)

Amin, Kaushik ; Khanna, Ajay

Oxford, UK : Blackwell Publishing Ltd

Mathematical finance 4 (1994), S. 0

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ISSN: 1467-9965

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Mathematics , Economics

Notes: Given a sequence of discrete-time option valuation models in which the sequence of processes defining the state variables converges weakly to a diffusion, we prove that the sequence of American option values obtained from these discrete-time models also converges to the corresponding value obtained from the continuous-time model for the standard models in the finance/economics literature. the convergence proof carries over to the case when the limiting risky asset price process follows a diffusion, except it pays discrete dividends on some fixed dates.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00059.x

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