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.
- Kaushik Amin & Ajay Khanna, 1994. "Convergence Of American Option Values From Discrete- To Continuous-Time Financial Models," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 289-304.
- Andreas Kyprianou, 2004. "Some calculations for Israeli options," Finance and Stochastics, Springer, vol. 8(1), pages 73-86, January.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Yuri Kifer, 2007. "Correction. Error estimates for binomial approximations of game options," Papers math/0702423, arXiv.org.
- Y. Iron & Y. Kifer, 2012. "Error estimates for binomial approximations of game put options," Papers 1206.0153, arXiv.org, revised Oct 2013.
- Yuri Kifer, 2012. "Dynkin Games and Israeli Options," Papers 1209.1791, arXiv.org.
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