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

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

Access to Document

10.1214/07-AAP479

Cite this

@article{046223362e0f40bfbfd44827eb9fa74e,

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

keywords = "Binomial approximation, Dynkin games, Game options, Skorokhod embedding",

author = "Yan Dolinsky and Yuri Kifer",

year = "2008",

month = jun,

doi = "10.1214/07-AAP479",

language = "אנגלית",

volume = "18",

pages = "1271--1277",

journal = "Annals of Applied Probability",

issn = "1050-5164",

publisher = "Institute of Mathematical Statistics",

number = "3",

}

TY - JOUR

T1 - Error estimates for binomial approximations of game options (The Annals of Applied Probability (2006) 16 (984-1033) DOI:10.1214/1050516000000088)

AU - Dolinsky, Yan

AU - Kifer, Yuri

PY - 2008/6

Y1 - 2008/6

KW - Binomial approximation

KW - Dynkin games

KW - Game options

KW - Skorokhod embedding

UR - http://www.scopus.com/inward/record.url?scp=52949126990&partnerID=8YFLogxK

U2 - 10.1214/07-AAP479

DO - 10.1214/07-AAP479

M3 - ???researchoutput.researchoutputtypes.contributiontojournal.comment???

AN - SCOPUS:52949126990

SN - 1050-5164

VL - 18

SP - 1271

EP - 1277

JO - Annals of Applied Probability

JF - Annals of Applied Probability

IS - 3

ER -

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

Keywords

Access to Document

Other files and links

Related research output

Error estimates for binomial approximations of game options

Cite this