Error estimates for binomial approximations of game options
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References listed on IDEAS
- Friedrich Hubalek & Walter Schachermayer, 1998. "When Does Convergence of Asset Price Processes Imply Convergence of Option Prices?," Mathematical Finance, Wiley Blackwell, vol. 8(4), pages 385-403, October.
- Andreas Kyprianou, 2004. "Some calculations for Israeli options," Finance and Stochastics, Springer, vol. 8(1), pages 73-86, January.
- Kaushik Amin & Ajay Khanna, 1994. "Convergence Of American Option Values From Discrete‐ To Continuous‐Time Financial Models1," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 289-304, October.
- Gapeev Pavel V. & Kühn Christoph, 2005. "Perpetual convertible bonds in jump-diffusion models," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 15-31, January.
- L.C.G. Rogers & E.J. Stapleton, 1997. "Fast accurate binomial pricing," Finance and Stochastics, Springer, vol. 2(1), pages 3-17.
- 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.
Citations
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Cited by:
- Guo, Peidong & Zhang, Jizhou & Wang, Qian, 2020. "Path-dependent game options with Asian features," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
- Yan Dolinsky & Yuri Kifer, 2008. "Binomial approximations of shortfall risk for game options," Papers 0811.1896, arXiv.org.
- Y. Iron & Y. Kifer, 2012. "Error estimates for binomial approximations of game put options," Papers 1206.0153, arXiv.org, revised Oct 2013.
- Filipović, Damir & Larsson, Martin & Pulido, Sergio, 2020. "Markov cubature rules for polynomial processes," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1947-1971.
- Yuri Kifer, 2020. "Error estimates for discrete approximations of game options with multivariate diffusion asset prices," Papers 2012.01257, arXiv.org, revised Dec 2021.
- Yuri Kifer, 2007. "Correction. Error estimates for binomial approximations of game options," Papers math/0702423, arXiv.org.
- Damir Filipovi'c & Martin Larsson & Sergio Pulido, 2017. "Markov cubature rules for polynomial processes," Papers 1707.06849, arXiv.org, revised Jun 2019.
- Yuri Kifer, 2012. "Dynkin Games and Israeli Options," Papers 1209.1791, arXiv.org.
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"A Dynkin game on assets with incomplete information on the return,"
Papers
1705.07352, arXiv.org, revised May 2019.
- De Angelis, Tiziano & Gensbittel, Fabien & Villeneuve, Stéphane, 2017. "A Dynkin game on assets with incomplete information on the return," TSE Working Papers 17-815, Toulouse School of Economics (TSE).
- Tiziano de Angelis & Fabien Gensbittel & Stéphane Villeneuve, 2020. "A Dynkin game on assets with incomplete information on the return," Post-Print hal-03142523, HAL.
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