Applications of weak convergence for hedging of game options
From MaRDI portal
Publication:1958505
DOI10.1214/09-AAP675zbMath1195.91156arXiv0908.3661MaRDI QIDQ1958505
Publication date: 4 October 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0908.3661
60F05: Central limit and other weak theorems
91A05: 2-person games
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
91A60: Probabilistic games; gambling
Related Items
Weak approximation of second-order BSDEs, Dynkin's games and Israeli options, The disorder problem for purely jump Lévy processes with completely monotone jumps, Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model, Error estimates for multinomial approximations of American options in a class of jump diffusion models
Cites Work
- Unnamed Item
- Unnamed Item
- Tightness criteria for laws of semimartingales
- Sur l'approximation des réduites. (On the approximation of residues)
- Error estimates for binomial approximations of game options
- Extended convergence to continuous in probability processes with independent increments
- Stopping times and tightness
- Functional convergence of Snell envelopes: Applications to American options approximations
- Convergence of values in optimal stopping and convergence of optimal stopping times
- Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
- Optimal stopping and strong approximation theorems†
- Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating
- Uniform Central Limit Theorems
- Convergence of the Critical Price In the Approximation of American Options
- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
- Binomial Approximations for Barrier Options of Israeli Style
- Game options