Game options
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(only showing first 100 items - show all)- Defaultable game options in a hazard process model
- Callable Russian options and their optimal boundaries
- Valuation of game options in jump-diffusion model and with applications to convertible bonds
- Intervention options in life insurance
- Numerical scheme for Dynkin games under model uncertainty
- Reflected and doubly reflected backward stochastic differential equations with time-delayed generators
- [[:Publication:1722018|Doubly reflected BSDEs and \(\mathcal{E} ^Template:F\)-Dynkin games: beyond the right-continuous case]]
- Dynkin game with asymmetric information
- Nash equilibria of threshold type for two-player nonzero-sum games of stopping
- An optimal stopping problem with a reward constraint
- A partial introduction to financial asset pricing theory.
- Some calculations for Israeli options
- Dynkin's games and Israeli options
- Applications of weak convergence for hedging of game options
- Pricing puttable convertible bonds with integral equation approaches
- An evolutionary finance model with a risk-free asset
- Path-dependent game options with Asian features
- The Dynkin game with regime switching and applications to pricing game options
- Saddle point equilibrium model for uncertain discrete systems
- On the value of non-Markovian Dynkin games with partial and asymmetric information
- Time consistent pricing of options with embedded decisions
- Strategic bank closure and deposit insurance valuation
- Playing with ghosts in a Dynkin game
- Perpetual game options with a multiplied penalty
- On shortfall risk minimization for game options
- Subgame perfect equilibria in stopping games
- Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail
- Preemption games under Lévy uncertainty
- A class of solvable stopping games
- Optimal decision under ambiguity for diffusion processes
- Path-dependent game options: a lookback case
- The multi-player nonzero-sum Dynkin game in discrete time
- Error estimates for binomial approximations of game put options
- Semimartingale price systems in models with transaction costs beyond efficient friction
- Limit theorems for partial hedging under transaction costs
- Perfect and partial hedging for swing game options in discrete time
- A pricing analysis of American option with callable feature
- Shortfall risk approximations for American options in the multidimensional Black-Scholes model
- The valuation of game option with random discounting
- Hedging of swing game options in continuous time
- Error estimates for multinomial approximations of American options in a class of jump diffusion models
- Lp-Solutions for Doubly Reflected Backward Stochastic Differential Equations
- Game theoretic analysis of incomplete markets: emergence of probabilities, nonlinear and fractional Black-Scholes equations
- Minimum guaranteed payments and costly cancellation rights: a stopping game perspective
- Optimal stopping games in models with various information flows
- Hedging game contingent claims
- Valuation of Russian game option under a jump diffusion model
- Pricing Israeli options: a pathwise approach
- Hedging with risk for game options in discrete time
- Optimal stopping and strong approximation theorems†
- CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
- PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH
- The valuation of callable-puttable reverse convertible bonds
- Valuation of some game-type option with nonconstant volatility
- Arbitrage pricing of defaultable game options with applications to convertible bonds
- A discrete-time approximation for doubly reflected BSDEs
- Pricing permanent convertible bonds in EVG model
- Hedging of game options with the presence of transaction costs
- Nash equilibria for game contingent claims with utility-based hedging
- BSDE approach for Dynkin game and American game option
- Recombining tree approximations for optimal stopping for diffusions
- Game options in an imperfect market with default
- Further calculations for Israeli options
- Dynkin games with heterogeneous beliefs
- Asset market games of survival: a synthesis of evolutionary and dynamic games
- A zero-sum competitive multi-player game
- A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS
- Continuously controlled options: derivatives with added flexibility
- PERPETUAL CANCELLABLE AMERICAN CALL OPTION
- A Dynkin game on assets with incomplete information on the return
- Arbitrage-free pricing of multi-person game claims in discrete time
- Dynkin games with incomplete and asymmetric information
- A kind of stochastic recursive Zero-Sum differential game problem with double obstacles constraint
- Optimal stopping problems for maxima and minima in models with asymmetric information
- Game options with gradual exercise and cancellation under proportional transaction costs
- MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING
- Zero-sum Markov games with impulse controls
- Dynkin games with Poisson random intervention times
- A variational inequality from pricing convertible bond
- Further calculations for the McKean stochastic game for a spectrally negative Lévi process: from a point to an interval
- Hedging of game options in discrete markets with transaction costs
- A Dynkin game with asymmetric information
- Equilibrium in two-player non-zero-sum Dynkin games in continuous time
- GAME CALL OPTIONS REVISITED
- scientific article; zbMATH DE number 6468931 (Why is no real title available?)
- American step-up and step-down default swaps under Lévy models
- Discounted optimal stopping problems in first-passage time models with random thresholds
- Recursive Construction of a Nash Equilibrium in a Two-Player Nonzero-Sum Stopping Game with Asymmetric Information
- Perpetual cancellable American options with convertible features
- Cautious stochastic choice, optimal stopping and deliberate randomization
- Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
- Tug-of-war, market manipulation and option pricing
- Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
- On the American style futures contracts
- On the value of a time-inconsistent mean-field zero-sum Dynkin game
- Solving a class of zero-sum stopping game with regime switching
- Numerical approximation of Dynkin games with asymmetric information
- Generalized Dynkin games and doubly reflected BSDEs driven by RCLL martingales
- On the impact of the penalty on the cancellable American options
- Pricing game options in financial markets with default: a doubly reflected BSDEs approach
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