Error estimates for binomial approximations of game options (The Annals of Applied Probability (2006) 16 (984-1033) DOI:10.1214/1050516000000088)

Yan Dolinsky; Yuri Kifer

doi:10.1214/07-AAP479

Error estimates for binomial approximations of game options (The Annals of Applied Probability (2006) 16 (984-1033) DOI:10.1214/1050516000000088)

Yan Dolinsky^*, Yuri Kifer

^*Corresponding author for this work

Department of Statistics

Research output: Contribution to journal › Comment/debate

1 Scopus citations

Original language	English
Pages (from-to)	1271-1277
Number of pages	7
Journal	Annals of Applied Probability
Volume	18
Issue number	3
DOIs	https://doi.org/10.1214/07-AAP479
State	Published - Jun 2008

Keywords

Binomial approximation
Dynkin games
Game options
Skorokhod embedding

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10.1214/07-AAP479

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Error estimates for binomial approximations of game options (The Annals of Applied Probability (2006) 16 (984-1033) DOI:10.1214/1050516000000088)

Keywords

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