Related papers: Another Correction. Error estimates for Binomial a…
Correction for Error estimates for binomial approximations of game options [math.PR/0607123]
We construct algorithms via binomial approximations for computation of prices of game put options and obtain estimates of approximation errors.
Correction to Annals of Probability 29 (2001) 1612--1624 [doi:10.1214/aop/1015345764].
Correction to Annals of Probability 28 (2000) 277--302 [doi:10.1214/aop/1019160120].
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…
We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black--Scholes market considering Lipschitz continuous path-dependent payoffs for both discrete- and…
Correction to The Annals of Statistics (1989) 17 1749--1766 [URL: http://links.jstor.org/sici?sici=0090-5364%28198912%2917%3A4%3C1749%3AEPEFSP%3E 2.0.CO%3B2-9]
The Annals of Applied Probability (2002) 12 1114-1137
Correction to The Annals of Probability 21 (1993) 554--580 [http://projecteuclid.org/euclid.aop/1176989415]
Correction to The Annals of Statistics (2006) 34, 1013--1044 [URL: http://projecteuclid.org/euclid.aos/1151418250]
Correction to Bernoulli (2006), 12, 551--570 http://projecteuclid.org/euclid.bj/1151525136
The ``losing positions" of certain combinatorial games constitute linear error detecting and correcting codes. We show that a large class of games that can be cast in the form of *annihilation games*, provides a potentially polynomial…
We obtain error estimates for strong approximations of a diffusion with a diffusion matrix $\sigma$ and a drift b by the discrete time process defined recursively X_N((n+1)/N) = X_N(n/N)+N^{1/2}\sigma(X_N(n/N))\xi(n+1)+N^{-1}b(XN(n/N));…
We show that prices and shortfall risks of game (Israeli) barrier options in a sequence of binomial approximations of the Black--Scholes (BS) market converge to the corresponding quantities for similar game barrier options in the BS market…
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type conditions. Error estimates for such type…
For the most up-to-date version please visit http://www.cis.upenn.edu/~brautbar/ccgame.pdf
A correction to the specification of the mechanism proposed in "An Efficient Game Form for Unicast Service Provisioning" is given.
This paper has been withdrawn by the author due to a crucial accuracy error in Fig. 5. For precise performance of ALBNN please refer to Yoon et al.'s work in the following article. Yoon, H., Park, C. S., Kim, J. S., & Baek, J. G. (2013).…
An improved exponential time algorithm for Energy Games and Mean Payoff Games has been recently proposed in ICALP 19. The new algorithm prevents some of the repetitive operations performed by the classic value iteration algorithm of Brim et…
We correct a simple error in Percolation on random Johnson-Mehl tessellations and related models, Probability Theory and Related Fields 140 (2008), 417-468. (See also arXiv:math/0610716)