Functional convex order for path-dependent American options using the Euler scheme of martingale jump diffusion process
Résumé
We explore the functional convex order of martingale diffusions and stochastic integrals with respect to their diffusion coefficient in both a Brownian and a jump framework. We finally extend this result to the Snell envelope of functionals of these process i.e. to American options with pathwise payoffs.
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