Recombining tree approximations for Game Options in Local Volatility models
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- Yoshio Ohtsubo, 1986. "Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating," Mathematics of Operations Research, INFORMS, vol. 11(4), pages 591-607, November.
- Baurdoux, Erik J. & Kyprianou, Andreas E., 2004. "Further calculations for Israeli options," LSE Research Online Documents on Economics 23916, London School of Economics and Political Science, LSE Library.
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This paper has been announced in the following NEP Reports:- NEP-CMP-2020-09-14 (Computational Economics)
- NEP-RMG-2020-09-14 (Risk Management)
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