Correction: Error estimates for binomial approximations of game options

DOI10.1214/07-AAP479MaRDI QIDQ930687zbMATH OpenFDO

Authors Yan Dolinsky, Yuri Kifer

Publication date 1 July 2008

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0806.2782

zbMATH Keywords

Skorokhod embeddingbinomial approximationgame optionsDynkin games

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Strong limit theorems (60F15) 2-person games (91A05) Stochastic games, stochastic differential games (91A15)

Abstract: The Annals of Applied Probability 16 (2006) 984--1033 [URL: http://projecteuclid.org/euclid.aoap/1151592257]

Cites work

• Error estimates for binomial approximations of game options

Cited in

(2)

• Error estimates for binomial approximations of game put options
• Binomial approximations of shortfall risk for game options

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