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math.PR2008★ 7 cited
Binomial approximations of shortfall risk for game options
Yan Dolinsky, Yuri Kifer
We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black--Scholes market considering Lipschit…
math.PR2008
Another Correction. Error estimates for Binomial approximations of game options
Yan Dolinsky, Yuri Kifer
The Annals of Applied Probability 16 (2006) 984--1033 [URL: http://projecteuclid.org/euclid.aoap/1151592257]