摘要翻译：
本文考虑Dynkin对策，其收益是一个潜在过程的函数。假定基础过程$\{s^{(n)}\}_{n=0}^{\infty}$扩展弱收敛到极限过程$s$,我们证明了与$\{s^{(n)}\}_{n=0}^{\infty}$相对应的Dynkin对策值收敛到与$s$相对应的Dynkin对策值。利用这些结果，我们用离散时间模型中的一系列博弈期权价格来近似连续时间模型中具有路径依赖收益的博弈期权价格，这些博弈期权价格可以用动态规划算法来计算。与以前的文献相比，我们的工作是在更一般的基础过程收敛下进行的，同时也是在较弱的收益条件下进行的。
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英文标题：
《Applications of weak convergence for hedging of game options》
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作者：
Yan Dolinsky
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最新提交年份：
2010
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分类信息：

一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  In this paper we consider Dynkin's games with payoffs which are functions of an underlying process. Assuming extended weak convergence of underlying processes $\{S^{(n)}\}_{n=0}^{\infty}$ to a limit process $S$ we prove convergence Dynkin's games values corresponding to $\{S^{(n)}\}_{n=0}^{\infty}$ to the Dynkin's game value corresponding to $S$. We use these results to approximate game options prices with path dependent payoffs in continuous time models by a sequence of game options prices in discrete time models which can be calculated by dynamical programming algorithms. In comparison to previous papers we work under more general convergence of underlying processes, as well as weaker conditions on the payoffs.
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PDF链接：
https://arxiv.org/pdf/0908.3661