Work

Long-time asymptotic behaviour of the value function in nonlinear stopping problems

Year: 2022

Type: article

Abstract: We provide general conditions ensuring that the value functions of some nonlinear stopping problems with finite horizon converge to the value functions of the corresponding problems with infinite horizon. Our result can be formulated as result on stability, with respect to time horizon, of nonlinear $f$-expectations. We also study the rate of convergence. Many examples are given to illustrate our results. They include the analysis of time asymptotics of the fair prices of American options in a multidimensional exponential Lévy model.

Source: Latin American Journal of Probability and Mathematical Statistics

DOI: 10.30757/alea.v19-47

Authors: Tomasz Klimsiak, Andrzej Rozkosz

Institutions: Nicolaus Copernicus University, Institute of Mathematics, Polish Academy of Sciences

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3016686615

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Cites: 43

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Related to: 10