Game options
A standard \((B,S)\)-securities market consists of a nonrandom (riskless) component \(B_{t},\) which is described as a savings account (or price of a bond) at time \(t\) with an interest \(r,\) and of a random (risky) component \(S_{t},\) which can be described as the price of a stock at time \(t.\) The problem of fair pricing, for example, of American options in the \((B,S)\)-securities market leads to the optimal stopping of certain stochastic processes. The author introduces game options in which the seller of an option can cansel the contract at any time \(t.\) In this case the buyer's gain is the sum \((K-S_{t})^{+}+\delta_{t}\) in the put and \((S_{t}-K)^{+}+\delta_{t}\) in the call option case, where \(\delta_{t}\geq 0\) is certain penalty paid by the seller and \(K\) is some specific price to sell (put option) or to buy (call option) the stock at any time \(t.\) The pricing of these options leads to a game version of the optimal stopping problem introduced in the discrete time case by \textit{E. B. Dynkin} [Sov. Math., Dokl., 10, 270--274 (1969); translation from Dokl. Akad. Nauk SSSR 185, 16--19 (1969; Zbl 0186.25304)]. The author considers only basic problems concerning extension of the option pricing theory to game options (or Israeli options to put them in line with American, European, Asian, Russian etc. ones) and many problems still remain to deal with. The analysis is based on the theory of optimal stopping games (Dynkin's games). Game options can be sold cheaper than usual American options and their introduction could diversify financial markets.
- 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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