Nonconventional Polynomial CLT
We obtain a functional central limit theorem (CLT) for sums of the form $ξ_N(t)=\frac1{\sqrt N}\sum_{n=1}^{[Nt]}\big(F(X(q_1(n)),...,X(q_\ell(n)))-\bar F\big)$ where $q_1,...,q_\ell$ are polynomials.
math.PR↗
arXiv subjects
Y. Kifer
Publications and source records attributed to Y. Kifer.
Error estimates for binomial approximations of game put options
We construct algorithms via binomial approximations for computation of prices of game put options and obtain estimates of approximation errors.
q-fin.CP↗
Perfect and partial hedging for swing game options in discrete time
The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without restrictions we derive a formula for valuation of multiple exercise options via classical hedging arguments. Introducing the notion of the shortfall risk for such options we study also partial hedging which leads to minimization of this risk.
q-fin.PR↗