Abstract
The general pricing processes represented by an inhomogeneous vector Markov process with discrete time is considered. Its first component is interpreted as a price process and the second one as an index process controlling the price component. American type options with convex pay-off functions are studied. The structure optimal and ε-optimal buyer stopping strategies is investigated for various classes of convex pay-off functions.Key words and phrasesMarkov processoptimal stoppingconvex pay-off functionAmerican optionsAMS 1991 subject classificationPrimary 62P0590C40Secondary 60J2560J20
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