Error estimates for binomial approximations of game options
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The Annals of Applied Probability
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Error estimates for binomial approximations of game options

Yan Dolinsky and Yuri Kifer

Source: Ann. Appl. Probab. Volume 18, Number 3 (2008), 1271-1277.

Primary Subjects: 91B28
Secondary Subjects: 60F15, 91A05
Keywords: Game options; Dynkin games; binomial approximation; Skorokhod embedding

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Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.aoap/1211819801
Digital Object Identifier: doi:10.1214/07-AAP479

References

[1] Kifer, Y. (2006). Error estimates for binomial approximations of game options. Ann. Appl. Probab. 16 984–1033. [Correction Ann. Appl. Probab. 16 (2006) 2273–2275. MR2288723]
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