220 citations
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math.PR2007★ 15 cited
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Abba M. Krieger, Moshe Pollak, Ester Samuel-Cahn
In many situations, the decision maker observes items in sequence and needs to determine whether or not to retain a particular item immediately after it is observed. Any decision r…
math.PR2006★ 17 cited
Error estimates for binomial approximations of game options
Yuri Kifer
We justify and give error estimates for binomial approximations of game (Israeli) options in the Black--Scholes market with Lipschitz continuous path dependent payoffs which are ne…