Error Estimates for Discrete Approximations of Game Options with Multivariate Diffusion Asset Prices
| Autor: | Yuri Kifer |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
91G20
60F15 Discrete mathematics Computer Science::Computer Science and Game Theory Multivariate statistics Approximations of π Probability (math.PR) Order (ring theory) Asset market Sigma Mathematical Finance (q-fin.MF) FOS: Economics and business Discrete time and continuous time Quantitative Finance - Mathematical Finance FOS: Mathematics Asset (economics) Diffusion (business) Mathematics - Probability Mathematics |
| Zdroj: | Journal of Stochastic Analysis. 2 |
| ISSN: | 2689-6931 |
| DOI: | 10.31390/josa.2.3.08 |
| Popis: | 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); n\geq 1 are i.i.d. random vectors, and apply this in order to approximate the fair price of a game option with a diffusion asset price evolution by values of Dynkin's games with payoffs based on the above discrete time processes. This provides an effective tool for computations of fair prices of game options with path dependent payoffs in a multi asset market with diffusion evolution. Comment: arXiv admin note: substantial text overlap with arXiv:2011.07907 |
| Databáze: | OpenAIRE |
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