Economy – Quantitative Finance – Pricing of Securities
We show that prices and shortfall risks of game (Israeli) barrier options in a sequence of binomial approximations of the Black--Scholes (BS) market converge to the corresponding quantities for similar game barrier options in the BS market with path dependent payoffs and the speed of convergence is estimated, as well. The results are new also for usual American style options and they are interesting from the computational point of view, as well, since in binomial markets these quantities can be obtained via dynamical programming algorithms. The paper continues the study of and  but requires substantial additional arguments in view of pecularities of barrier options which, in particular, destroy the regularity of payoffs needed in the above papers.
Binomial Approximations for Barrier Options of Israeli Style does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.If you have personal experience with Binomial Approximations for Barrier Options of Israeli Style, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Binomial Approximations for Barrier Options of Israeli Style will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-355593