Applications of weak convergence for hedging of game options
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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
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