Applications of weak convergence for hedging of game options
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Publication:1958505
DOI10.1214/09-AAP675zbMath1195.91156arXiv0908.3661MaRDI QIDQ1958505
Publication date: 4 October 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0908.3661
Central limit and other weak theorems (60F05) 2-person games (91A05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic games; gambling (91A60)
Related Items (6)
Strong diffusion approximation in averaging and value computation in Dynkin's games ⋮ Dynkin's games and Israeli options ⋮ Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model ⋮ The disorder problem for purely jump Lévy processes with completely monotone jumps ⋮ Weak approximation of second-order BSDEs ⋮ Error estimates for multinomial approximations of American options in a class of jump diffusion models
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