Error estimates for binomial approximations of game options
| dc.creator | Kifer, Yuri | |
| dc.date | 2006-07-05 | |
| dc.date.accessioned | 2026-07-07T12:07:19Z | |
| dc.date.available | 2026-07-07T12:07:19Z | |
| dc.description | 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'' rational exercise times and ``nearly'' hedging self-financing portfolios with small average shortfalls and initial capitals close to fair prices of the options. The estimates rely on strong invariance principle type approximations via the Skorokhod embedding. | |
| dc.description | Published at http://dx.doi.org/10.1214/105051606000000088 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/math/0607123 | |
| dc.identifier | http://arxiv.org/abs/math/0607123 | |
| dc.identifier | Annals of Applied Probability 2006, Vol. 16, No. 2, 984-1033 | |
| dc.identifier | doi:10.1214/105051606000000088 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208930 | |
| dc.subject | Probability | |
| dc.subject | Pricing of Securities | |
| dc.subject | 91B28 (Primary) 60F15, 91A05 (Secondary) | |
| dc.title | Error estimates for binomial approximations of game options | |
| dc.type | text |