Error estimates for binomial approximations of game put options
Y. Iron, Y. Kifer
TL;DR
This paper develops algorithms using binomial approximations to compute game put option prices and provides error estimates for these approximations.
Contribution
It introduces new algorithms for pricing game put options with rigorous error bounds on the approximation accuracy.
Findings
Algorithms effectively approximate game put option prices.
Error estimates quantify the approximation accuracy.
Method improves computational reliability for option pricing.
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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Taxonomy
TopicsStochastic processes and financial applications · Numerical Methods and Algorithms · Iterative Methods for Nonlinear Equations