SIAM Journal on Numerical Analysis, Vol. 31, No. 3 (Jun., 1994), pp. 655-679 (25 pages) The accuracy of numerical approximations to piecewise smooth solutions of hyperbolic partial differential ...
We justify and give error estimates for binomial approximations of game (Israeli) options in the Black-Scholes market with Lipschitz continuous path dependent payoffs ...
Stein's method has emerged as a critical framework in the study of distributional approximations, providing quantitative bounds between probability distributions through the formulation and solution ...
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