Pricing Israeli options: a pathwise approach

DOI10.1080/17442500600976442MaRDI QIDQ3429336zbMATH OpenOpenAlexFDO

Authors Christoph Kühn, A. E. Kyprianou, Kees van Schaik

Publication date 30 March 2007

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500600976442

zbMATH Keywords

convertible bondsDynkin gameshedging strategiesIsraeli optionsMonte Carlo simulation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Generalizations of martingales (60G48) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Some calculations for Israeli options
• Further calculations for Israeli options
• Game options
• Path-dependent game options: a lookback case
• Pricing and hedging game options in currency models with proportional transaction costs

Cites work

• A jump-diffusion model for option pricing
• A stochastic representation theorem with applications to optimization and obstacle problems.
• Backward stochastic differential equations with reflection and Dynkin games
• CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
• Connecting discrete and continuous path-dependent options
• Game options
• scientific article; zbMATH DE number 739283 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Monte Carlo valuation of American options
• Optimal Stopping Rules for Stochastic Processes with Continuous Parameter
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Perpetual Convertible Bonds
• Perpetual convertible bonds in jump-diffusion models
• Pricing derivatives of American and game type in incomplete markets
• Randomization and the American put
• Some calculations for Israeli options
• Upper Bounds for Bermudan Style Derivatives

Cited in

(13)

• Valuation of game options in jump-diffusion model and with applications to convertible bonds
• Numerical scheme for Dynkin games under model uncertainty
• Some calculations for Israeli options
• Dynkin's games and Israeli options
• Path-dependent game options: a lookback case
• Hedging with risk for game options in discrete time
• Further calculations for Israeli options
• Arbitrage-free pricing of multi-person game claims in discrete time
• Pathwise dynamic programming
• Game options
• On the impact of the penalty on the cancellable American options
• Nonzero-sum games of optimal stopping for Markov processes
• Error estimates for binomial approximations of game options

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