Error estimates for binomial approximations of game put options

2012/06/01 by Yonatan Iron, Y. Iron, Y. Kifer +3
Computer Science · Economics, Econometrics and Finance · Mathematics · #91B28 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Iterative Methods for Nonlinear Equations #Numerical Methods and Algorithms #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:91B28 #q-fin.CP

paper · pdf · doi:10.48550/arxiv.1206.0153

openalex publication_date 2012/06/01 · arxiv created 2013/10/17 · arxiv updated 2013/10/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We construct algorithms via binomial approximations for computation of prices of game put options and obtain estimates of approximation errors.

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