Error estimates for binomial approximations of game put options
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Publication:2510955
DOI10.1155/2014/743030zbMath1408.91216arXiv1206.0153OpenAlexW2053986298WikidataQ59048417 ScholiaQ59048417MaRDI QIDQ2510955
Publication date: 5 August 2014
Published in: ISRN Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1206.0153
Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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- Error estimates for binomial approximations of game options
- Error estimates for the binomial approximation of American put options
- Some calculations for Israeli options
- Dynkin's games and Israeli options
- Hedging of swing game options in continuous time
- Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
- CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
- A discrete-time approximation for doubly reflected BSDEs
- Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems
- Game options
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