Perpetual game options with a multiplied penalty

DOI10.1016/J.CNSNS.2020.105248MaRDI QIDQ2204529zbMATH OpenOpenAlexFDO

Authors Tsvetelin S. Zaevski

Publication date 15 October 2020

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2020.105248

zbMATH Keywords

American optionsexercise regionsgame optionsIsraeli optionsoptimal boundaries

Mathematics Subject Classification ID

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

Recommendations

• GAME CALL OPTIONS REVISITED
• Minimum guaranteed payments and costly cancellation rights: a stopping game perspective
• PERPETUAL CANCELLABLE AMERICAN CALL OPTION
• Properties of game options
• Game options

Cites work

• A simple and fast method for valuing American knock-out options with rebates
• American option valuation under time changed tempered stable Lévy processes
• Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
• Analytic solution for American strangle options using Laplace-Carson transforms
• GAME CALL OPTIONS REVISITED
• Game contingent claims in complete and incomplete markets
• Game options
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• Inverse multi-quadric RBF for computing the weights of FD method: application to American options
• On the value of optimal stopping games
• PERPETUAL CANCELLABLE AMERICAN CALL OPTION
• Pricing American-style Parisian down-and-out call options
• Pricing derivatives of American and game type in incomplete markets
• Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
• Pricing perpetual American options under multiscale stochastic elasticity of variance
• Semismooth Newton methods with domain decomposition for American options
• Valuing American options by simulation: a BSDEs approach

Cited in

(8)

• Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
• Path-dependent game options with Asian features
• Minimum guaranteed payments and costly cancellation rights: a stopping game perspective
• Perpetual cancellable American options with convertible features
• Variational inequality arising from variable annuity with mean reversion environment
• On some generalized American style derivatives
• On the impact of the penalty on the cancellable American options
• Pricing finite maturity game call options with convertible features

This page was built for publication: Perpetual game options with a multiplied penalty

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2204529)