Error Estimates for Discrete Approximations of Game Options with Multivariate Diffusion Asset Prices

Yuri Kifer

doi:10.31390/josa.2.3.08

Error Estimates for Discrete Approximations of Game Options with Multivariate Diffusion Asset Prices

Yuri Kifer^*

^*Corresponding author for this work

Einstein Institute of Mathematics

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

We

Original language	English
Article number	8
Journal	Journal of Stochastic Analysis
Volume	2
Issue number	3
DOIs	https://doi.org/10.31390/josa.2.3.08
State	Published - Sep 2021

Bibliographical note

Publisher Copyright:
© 2021 The LSU Scholarly Repository. All rights reserved.

Keywords

Game options
dynamical programming Dynkin game
strong diffusion approximation

Access to Document

10.31390/josa.2.3.08

Cite this

@article{9273306e1ec347e1bf219f5b9c420938,

title = "Error Estimates for Discrete Approximations of Game Options with Multivariate Diffusion Asset Prices",

abstract = "We",

keywords = "Game options, dynamical programming Dynkin game, strong diffusion approximation",

author = "Yuri Kifer",

year = "2021",

month = sep,

doi = "10.31390/josa.2.3.08",

language = "אנגלית",

volume = "2",

journal = "Journal of Stochastic Analysis",

issn = "2689-6931",

publisher = "Louisiana State University",

number = "3",

}

TY - JOUR

T1 - Error Estimates for Discrete Approximations of Game Options with Multivariate Diffusion Asset Prices

AU - Kifer, Yuri

PY - 2021/9

Y1 - 2021/9

N2 - We

AB - We

KW - Game options

KW - dynamical programming Dynkin game

KW - strong diffusion approximation

UR - https://www.scopus.com/pages/publications/105012907392

U2 - 10.31390/josa.2.3.08

DO - 10.31390/josa.2.3.08

M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???

AN - SCOPUS:105012907392

SN - 2689-6931

VL - 2

JO - Journal of Stochastic Analysis

JF - Journal of Stochastic Analysis

IS - 3

M1 - 8

ER -

Error Estimates for Discrete Approximations of Game Options with Multivariate Diffusion Asset Prices

Abstract

Bibliographical note

Keywords

Access to Document

Other files and links

Fingerprint

Cite this