Error estimates for binomial approximations of game options
From MaRDI portal
Abstract: We justify and give error estimates for binomial approximations of game (Israeli) options in the Black--Scholes market with Lipschitz continuous path dependent payoffs which are new also for usual American style options. We show also that rational (optimal) exercise times and hedging self-financing portfolios of binomial approximations yield for game options in the Black--Scholes market ``nearly rational exercise times and ``nearly hedging self-financing portfolios with small average shortfalls and initial capitals close to fair prices of the options. The estimates rely on strong invariance principle type approximations via the Skorokhod embedding.
Recommendations
Cites work
- An approximation of partial sums of independent RV's, and the sample DF. II
- Approximation theorems for independent and weakly dependent random vectors
- Brownian optimal stopping and random walks
- CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
- Error estimates for the binomial approximation of American put options
- Fast accurate binomial pricing
- Further calculations for Israeli options
- Game options
- scientific article; zbMATH DE number 4060392 (Why is no real title available?)
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 3538599 (Why is no real title available?)
- scientific article; zbMATH DE number 1227086 (Why is no real title available?)
- Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
- Multidimensional Version of a Result of Sakhanenko in the Invariance Principle for Vectors with Finite Exponential Moments. I
- On the deviations in the Skorokhod-Strassen approximation scheme
- Optimal stopping and embedding
- Option pricing: A simplified approach
- Perpetual convertible bonds in jump-diffusion models
- Pricing derivatives of American and game type in incomplete markets
- Pricing Israeli options: a pathwise approach
- Properties of game options
- Reflected forward-backward SDEs and obstacle problems with boundary conditions
- Some calculations for Israeli options
- The rate of convergence of the binomial tree scheme
- When does convergence of asset price processes imply convergence of option prices?
Cited in
(17)- Error estimates for the binomial approximation of American put options
- Numerical scheme for Dynkin games under model uncertainty
- Dynkin's games and Israeli options
- Applications of weak convergence for hedging of game options
- Markov cubature rules for polynomial processes
- Path-dependent game options with Asian features
- Error estimates for binomial approximations of game put options
- Option convergence rate with geometric random walks approximations
- Limit theorems for partial hedging under transaction costs
- 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†
- Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
- A variational inequality from pricing convertible bond
- Error estimates for discrete approximations of game options with multivariate diffusion asset prices
- Correction: Error estimates for binomial approximations of game options
- Binomial approximations of shortfall risk for game options
This page was built for publication: Error estimates for binomial approximations of game options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q997959)
