APPLICATIONS OF WEAK CONVERGENCE FOR HEDGING OF GAME OPTIONS
成果类型：
Article
署名作者：
Dolinsky, Yan
署名单位：
Hebrew University of Jerusalem
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/09-AAP675
发表日期：
2010
页码：
1891-1906
关键词：
摘要：
In this paper we consider Dynkin's games with payoffs which are functions of an underlying process. Assuming extended weak convergence of underlying processes {S-(n)}(n=0)(infinity) to a limit process S we prove convergence Dynkin's games values corresponding to {S(n)}(n=0)(infinity) to the Dynkin's game value corresponding to S. We use these results to approximate game options prices with path dependent payoffs in continuous time models by a sequence of game options prices in discrete time models which can be calculated by dynamical programming algorithms. In comparison to previous papers we work under more general convergence of underlying processes, as well as weaker conditions on the payoffs.