Path-dependent game options with Asian features
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Publication:2128183
DOI10.1016/J.CHAOS.2020.110412zbMATH Open1496.91084OpenAlexW3095294881MaRDI QIDQ2128183FDOQ2128183
Authors: Pei Dong Guo, Jizhou Zhang, Qian Wang 
Publication date: 21 April 2022
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2020.110412
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Cites Work
- Stochastic calculus for finance. II: Continuous-time models.
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- Title not available (Why is that?)
- Game options
- Hedging with risk for game options in discrete time
- Some calculations for Israeli options
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- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
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- Pricing American-style Parisian down-and-out call options
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- Perpetual game options with a multiplied penalty
- An asymptotic expansion method for geometric Asian options pricing under the double Heston model
- Path-dependent game options: a lookback case
- Pricing and hedging game options in currency models with proportional transaction costs
Cited In (5)
- Asian strike options of American type and game type
- Perpetual cancellable American options with convertible features
- Valuation of some game-type option with nonconstant volatility
- Path-dependent game options: a lookback case
- Minimum guaranteed payments and costly cancellation rights: a stopping game perspective
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