Error estimates for binomial approximations of game options
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Publication:997959
DOI10.1214/105051606000000088zbMath1142.91533arXivmath/0607123OpenAlexW2952638867MaRDI QIDQ997959
Publication date: 8 August 2007
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0607123
2-person games (91A05) Strong limit theorems (60F15) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (15)
Path-dependent game options with Asian features ⋮ Numerical scheme for Dynkin games under model uncertainty ⋮ Dynkin's games and Israeli options ⋮ Applications of weak convergence for hedging of game options ⋮ Correction: Error estimates for binomial approximations of game options ⋮ Can high-order convergence of European option prices be achieved with common CRR-type binomial trees? ⋮ Markov cubature rules for polynomial processes ⋮ Binomial approximations of shortfall risk for game options ⋮ A variational inequality from pricing convertible bond ⋮ Error estimates for binomial approximations of game put options ⋮ Option convergence rate with geometric random walks approximations ⋮ Error estimates for multinomial approximations of American options in a class of jump diffusion models ⋮ Hedging with risk for game options in discrete time ⋮ Optimal stopping and strong approximation theorems† ⋮ LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS
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