The valuation of game option with random discounting

zbMATH Open1224.91167MaRDI QIDQ3072299FDOQ3072299

Authors: Lei Wang, Zhi Ming Jin, Yan Xiao 

Publication date: 5 February 2011

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zbMATH Keywords

excessive functiongame optionrandom discounting

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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