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- W3124372848 abstract "We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type conditions. Error estimates for such type of approximations were not obtained before. Our main tool is the strong approximations theorems for i.i.d. random vectors which were obtained [14]. For the multidimensional Black--Scholes model our results can be extended also to a general path dependent payoffs which satisfy Lipschitz type conditions. For the case of multinomial approximations of American options for the Black--Scholes model our estimates are a significant improvement of those which were obtained in [8] (for game options in a more general setup)" @default.
- W3124372848 created "2021-02-01" @default.
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- W3124372848 date "2010-04-01" @default.
- W3124372848 modified "2023-09-27" @default.
- W3124372848 title "Error Estimates for Multinomial Approximations of American Options in Merton's Model" @default.
- W3124372848 hasPublicationYear "2010" @default.
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