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摘要翻译：
本文证明了在Black-Scholes(BS)市场的二项式近似序列中，博弈（以色列）障碍期权的价格和缺口风险收敛到具有路径依赖收益的类似博弈障碍期权的相应数量，并估计了收敛速度。这些结果对于通常的美式期权也是新的，从计算的角度来看也是有趣的，因为在二项式市场中，这些量可以通过动态规划算法得到。本文继续了[11]和[7]的研究，但鉴于障碍期权的特殊性，特别是破坏了上述论文中所需的收益的规律性，需要大量的额外论证。
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英文标题：
《Binomial Approximations for Barrier Options of Israeli Style》
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作者：
Yan Dolinsky and Yuri Kifer
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
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 [11]and [7] 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.
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PDF链接：
https://arxiv.org/pdf/0907.4136
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