Error estimates for binomial approximations of game put options
Computational Finance
2013-10-21 v2 Probability
Abstract
We construct algorithms via binomial approximations for computation of prices of game put options and obtain estimates of approximation errors.
Cite
@article{arxiv.1206.0153,
title = {Error estimates for binomial approximations of game put options},
author = {Y. Iron and Y. Kifer},
journal= {arXiv preprint arXiv:1206.0153},
year = {2013}
}