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Error estimates for binomial approximations of game put options

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  • Y. Iron
  • Y. Kifer

Abstract

We construct algorithms via binomial approximations for computation of prices of game put options and obtain estimates of approximation errors.

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  • Y. Iron & Y. Kifer, 2012. "Error estimates for binomial approximations of game put options," Papers 1206.0153, arXiv.org, revised Oct 2013.
    • Handle: RePEc:arx:papers:1206.0153
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    References listed on IDEAS

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    1. Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
    2. Andreas Kyprianou, 2004. "Some calculations for Israeli options," Finance and Stochastics, Springer, vol. 8(1), pages 73-86, January.
    3. Yuri Kifer, 2006. "Error estimates for binomial approximations of game options," Papers math/0607123, arXiv.org.
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