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Error estimates for discrete approximations of game options with multivariate diffusion asset prices - MaRDI portal

Error estimates for discrete approximations of game options with multivariate diffusion asset prices

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Publication:6355137

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DOI10.31390/josa.2.3.08arXiv2012.01257WikidataQ114038825 ScholiaQ114038825MaRDI QIDQ6355137

Publication date: 2 December 2020

Mathematics Subject Classification ID

Strong limit theorems (60F15) Derivative securities (option pricing, hedging, etc.) (91G20)

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