Hedging of swing game options in continuous time

DOI10.1080/17442508.2010.510908MaRDI QIDQ3108368zbMATH OpenOpenAlexFDO

Authors Yonatan Iron, Yuri Kifer

Publication date 3 January 2012

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2010.510908

zbMATH Keywords

game optionsmultiple exercise derivativesmultiple optimal stoppingswing options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Perfect and partial hedging for swing game options in discrete time
• Generalization on optimal multiple stopping with application to swing options with random exercise rights number
• Hedging with risk for game options in discrete time
• THE SWING OPTION ON THE STOCK MARKET
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

Cites work

• Game options
• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Perfect and partial hedging for swing game options in discrete time
• Stochastic differential equations. An introduction with applications.

Cited in

(5)

• Dynkin's games and Israeli options
• Error estimates for binomial approximations of game put options
• Perfect and partial hedging for swing game options in discrete time
• Zero-sum Markov games with impulse controls
• Hedging of game options in discrete markets with transaction costs

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