Dynkin's games and Israeli options (Q1952697): Difference between revisions
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Revision as of 06:21, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynkin's games and Israeli options |
scientific article |
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Dynkin's games and Israeli options (English)
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3 June 2013
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Summary: We start by briefly surveying the research on optimal stopping games since their introduction by Dynkin more than 40 years ago. Recent renewed interest to Dynkin's games is due, in particular, to the study of Israeli (game) options introduced by \textit{Y. Ohtsubo} [Math. Jap. 51, No. 1, 75--81 (2000; Zbl 0971.60047)]. We discuss the work on these options and related derivative securities for the last decade. Among various results on game options we consider error estimates for their discrete approximations, swing game options, game options in markets with transaction costs, and other questions.
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optimal stopping games
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Israeli options
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derivative securities
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discrete approximations
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game options
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