Applications of weak convergence for hedging of game options
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References listed on IDEAS
- Maurizio Pratelli & Sabrina Mulinacci, 1998. "Functional convergence of Snell envelopes: Applications to American options approximations," Finance and Stochastics, Springer, vol. 2(3), pages 311-327.
- Damien Lamberton, 1993. "Convergence of the Critical Price In the Approximation of American Options," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 179-190.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-20 (All new papers)
- NEP-GTH-2010-03-20 (Game Theory)
- NEP-HPE-2010-03-20 (History & Philosophy of Economics)
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