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Error estimates for binomial approximations of game options
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Error estimates for binomial approximations of game options (2006)Error estimates for binomial approximatio…CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS (2007)CALLABLE PUTS AS COMPOSITE EX…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Properties of game options (2005)Properties of game optionsSome calculations for Israeli options (2004)Some calculations for Israeli…Pricing derivatives of American and game type in incomplete markets (2004)Pricing derivatives of Americ…The rate of convergence of the binomial tree scheme (2003)The rate of convergence of th…Game options (2000)Game optionsESSENTIALS OF STOCHASTIC FINANCE (2000)ESSENTIALS OF STOCHASTIC FINA…Reflected forward‐backward SDEs and obstacle problems with boundary conditions (1999)Reflected forward‐backward SD…Essentials of Stochastic Finance (1999)Essentials of Stochastic Fina…Error estimates for the binomial approximation of American put options (1998)Error estimates for the binom…CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1 (1994)CONVERGENCE OF AMERICAN OPTIO…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski (1984)Le jeu de dynkin en theorie g…Option pricing: A simplified approach (1979)Option pricing: A simplified …Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems (1977)Nonzero-Sum Stochastic Differ…Handbook of Brownian Motion — Facts and Formulae (1996)The Value of Zero-Sum Stopping Games in Continuous Time (2005)Optimal Stopping Games for Markov Processes (2008)Stochastic differential equations and applications (2008)Martingales and stochastic integrals in the theory of continuous trading (1981)Jump Diffusion Option Valuation in Discrete Time (1993)American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)Pricing American-style securities using simulation (1997)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Theory of rational option pricing (2005)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Backward stochastic differential equations with reflection and Dynkin games (1996)Continuous-Time Dynkin Games with Mixed Strategies (2002)Mixed Zero-Sum Stochastic Differential Game and American Game Options (2006)Nonzero-Sum Stochastic Games (1999)Stochastic Differential Equations and Applications (2010)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Dynamical pricing of weather derivatives (2002)The cumulant process and Esscher's change of measure (2002)A general version of the fundamental theorem of asset pricing (1994)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options (2010)Estimating quadratic variation using realized variance (2002)Applications of Hilbert–Huang transform to non‐stationary financial time series analysis (2003)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)
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References

  • 2007Brownian Motion and Stochastic Calculus7,544 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1988Brownian Motion and Stochastic Calculus1,559 cited
  • 1999Essentials of Stochastic Finance543 cited
  • 2000ESSENTIALS OF STOCHASTIC FINANCE301 cited
  • 2000Game options204 cited
  • 1994CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1118 cited
  • 1984Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski115 cited
  • 1977Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems108 cited
  • 2004Some calculations for Israeli options99 cited
  • 2004Pricing derivatives of American and game type in incomplete markets77 cited
  • 2003The rate of convergence of the binomial tree scheme71 cited
  • 1998Error estimates for the binomial approximation of American put options65 cited
  • 1999Reflected forward‐backward SDEs and obstacle problems with boundary conditions61 cited
  • 2007CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS57 cited
  • 2005Properties of game options

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