Error estimates for binomial approximations of game put options
AbstractWe construct algorithms via binomial approximations for computation of prices of game put options and obtain estimates of approximation errors.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1206.0153.
Date of creation: Jun 2012
Date of revision: Oct 2013
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- Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
- Andreas Kyprianou, 2004. "Some calculations for Israeli options," Finance and Stochastics, Springer, vol. 8(1), pages 73-86, January.
- Yuri Kifer, 2006. "Error estimates for binomial approximations of game options," Papers math/0607123, arXiv.org.
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