Binomial Approximations for Barrier Options of Israeli Style

DOI10.1007/978-0-8176-8089-3_22zbMath1222.91059arXiv0907.4136OpenAlexW1748210162MaRDI QIDQ5198539

Yan Dolinsky, Yuri Kifer

Publication date: 8 August 2011

Published in: Annals of the International Society of Dynamic Games (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.4136

zbMATH Keywords

American optionBlack-Scholes market modelbinomial market modelgame (Israeli) barrier option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Recombining Tree Approximations for Optimal Stopping for Diffusions ⋮ Dynkin's games and Israeli options ⋮ Applications of weak convergence for hedging of game options ⋮ Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model ⋮ LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS

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