Mathematical Inequalities & Applications · Volume 15, Issue 1

Estimate for the discrete time hedging error of the American option on a dividend-paying stock

15-14 Pages 137-163 DOI 10.7153/mia-15-14

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Authors

Sultan Hussain Nasir Rehman

Keywords

american option discrete time hedging hedging error optimal stopping problem locally Lipschitz functions

Subject classes

60J75 60G40 60J60