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Error estimates for discrete approximations of game options with multivariate diffusion asset prices
Autor:
Kifer, Yuri
Publikováno v:
Journal of Stochastic Analysis 2 (2021), no.3, article 8
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)); where \xi(n);
Externí odkaz:
http://arxiv.org/abs/2012.01257
Error Estimates for Discrete Approximations of Game Options with Multivariate Diffusion Asset Prices
Autor:
Yuri Kifer
Publikováno v:
Journal of Stochastic Analysis. 2
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)); where \xi(n);
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a2aa35386b500516979959a06a12718b
https://doi.org/10.31390/josa.2.3.08
https://doi.org/10.31390/josa.2.3.08
