Valuation of game options in jump-diffusion model and with applications to convertible bonds
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Publication:1040052
DOI10.1155/2009/945923zbMath1175.91077WikidataQ58646866 ScholiaQ58646866MaRDI QIDQ1040052
Publication date: 23 November 2009
Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/233211
80A22: Stefan problems, phase changes, etc.
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Game options with gradual exercise and cancellation under proportional transaction costs, Strategic bank closure and deposit insurance valuation, Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail, PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS
Cites Work
- Properties of game options
- A barrier option of American type
- Some calculations for Israeli options
- Optimal Stopping Problems for Asset Management
- Pricing Israeli options: a pathwise approach
- Perpetual Convertible Bonds
- Further calculations for Israeli options
- A Two‐Person Game for Pricing Convertible Bonds
- Perpetual convertible bonds in jump-diffusion models
- Game options