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Correction: Error estimates for binomial approximations of game options - MaRDI portal

Correction: Error estimates for binomial approximations of game options

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Publication:930687

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DOI10.1214/07-AAP479zbMath1142.91516arXiv0806.2782MaRDI QIDQ930687

Yan Dolinsky, Yuri Kifer

Publication date: 1 July 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.2782

zbMATH Keywords

Dynkin games Skorokhod embedding binomial approximation game options

Mathematics Subject Classification ID

2-person games (91A05) Strong limit theorems (60F15) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

Error estimates for binomial approximations of game options

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