Error Estimates for Binomial Approximations of Game Put Options
نویسندگان
چکیده
منابع مشابه
Error Estimates for Binomial Approximations of Game Options
We justify and give error estimates for binomial approximations of game (Israeli) options in the Black–Scholes market with Lipschitz continuous path dependent payoffs which are new also for usual American style options. We show also that rational (optimal) exercise times and hedging self-financing portfolios of binomial approximations yield for game options in the Black–Scholes market “nearly” ...
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We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black–Scholes market considering Lipschitz continuous path dependent payoffs for both discrete and continuous time cases. This results are new also for usual American style options. The paper continues and extends the study of [6] where estimates for binomial...
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ژورنال
عنوان ژورنال: ISRN Probability and Statistics
سال: 2014
ISSN: 2090-472X
DOI: 10.1155/2014/743030