Functional convergence of Snell envelopes: Applications to American options approximations.
Sabrina MulinacciMaurizio PratelliPublished in: Finance Stochastics (1998)
Keyphrases
- option pricing
- approximation methods
- convergence speed
- convergence rate
- united states
- artificial intelligence
- convergence analysis
- iterative algorithms
- closed form
- least squares
- reinforcement learning
- bayesian networks
- image sequences
- decision trees
- information systems
- social networks
- neural network
- functional analysis
- convergence theorem