PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS

DOI10.1142/S0219024916500436zbMath1396.91761arXiv1504.07920OpenAlexW2159866863MaRDI QIDQ2836219

Alet Roux

Publication date: 8 December 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.07920

zbMATH Keywords

proportional transaction costssuperhedginggame optionsIsraeli optionsoptimal exercisecurrency modelgame contingent claims

Mathematics Subject Classification ID

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

Related Items

Path-dependent game options with Asian features, Game options with gradual exercise and cancellation under proportional transaction costs, Von Neumann–Gale model, market frictions and capital growth, Perpetual cancellable American options with convertible features

Uses Software

• Convex

Cites Work

• Markets with transaction costs. Mathematical theory.
• Valuation of game options in jump-diffusion model and with applications to convertible bonds
• Randomized Stopping Times and American Option Pricing with Transaction Costs
• AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS
• Hedging of game options in discrete markets with transaction costs
• Stochastic finance. An introduction in discrete time
• The Harrison-Pliska arbitrage pricing theorem under transaction costs