Properties of game options (Q883071): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1007/s00186-005-0027-3 / rank
 
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Latest revision as of 19:27, 25 June 2024

scientific article
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English
Properties of game options
scientific article

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    Properties of game options (English)
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    31 May 2007
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    The author proposes an interesting study on an american option analysed as a game. The most relevant result obtained concerns the value of this perpetual game option in terms of excessive functions with a lot of examples in this direction. Some important results are obtained in the frame of the volatility connected to the general context.
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    optimal stopping games
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    excessive functions
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    volatility
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    price orderings
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