GAME CALL OPTIONS REVISITED
From MaRDI portal
Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)
Recommendations
- The option game
- scientific article; zbMATH DE number 6468931
- Game options in an imperfect market with default
- Game options
- Hedging of game options with the presence of transaction costs
- Game options analysis of the information role of call policies in convertible bonds
- Game options with gradual exercise and cancellation under proportional transaction costs
Cites work
- A change-of-variable formula with local time on curves
- CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
- Game contingent claims in complete and incomplete markets
- Game options
- scientific article; zbMATH DE number 3296964 (Why is no real title available?)
- Minimum guaranteed payments and costly cancellation rights: a stopping game perspective
- On the optimal stopping problem for one-dimensional diffusions.
- On the value of optimal stopping games
- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
- Optimal Stopping and the American Put
- Optimal Stopping Games for Markov Processes
- PERPETUAL CANCELLABLE AMERICAN CALL OPTION
- Some calculations for Israeli options
- The Wiener Sequential Testing Problem with Finite Horizon
Cited in
(18)- Numerical scheme for Dynkin games under model uncertainty
- Dynkin's games and Israeli options
- Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
- Path-dependent game options with Asian features
- Strategic bank closure and deposit insurance valuation
- Perpetual game options with a multiplied penalty
- Minimum guaranteed payments and costly cancellation rights: a stopping game perspective
- CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
- Dynkin games with heterogeneous beliefs
- A Dynkin game on assets with incomplete information on the return
- Solving an option game problem with finite expiration: optimizing terms of patent license agreements
- scientific article; zbMATH DE number 6468931 (Why is no real title available?)
- Game options
- Perpetual cancellable American options with convertible features
- On the American style futures contracts
- On the impact of the penalty on the cancellable American options
- Pricing formulas for American perpetual knock-out and callable volatility options
- Pricing finite maturity game call options with convertible features
This page was built for publication: GAME CALL OPTIONS REVISITED
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5411399)
