Brownian Optimal Stopping and Random Walks |
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| Authors: | Lamberton |
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| Institution: | (1) Equipe d'Analyse et de Mathématiques Appliquées, Université de Marne-la-Vallée, 5 Boulevard Descartes, Cité Descartes, Champs-sur-Marne, 77 454 Marne-la-Vallée Cedex 2, France dlamb@math.univ-mlv.fr, FR |
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| Abstract: | One way to compute the value function of an optimal stopping problem along Brownian paths consists of approximating Brownian
motion by a random walk. We derive error estimates for this type of approximation under various assumptions on the distribution
of the approximating random walk. |
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| Keywords: | , Optimal stopping, Brownian motion, Random walk approximation, American options, AMS Classification, 60G40, 90A09, |
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