Hedging of swing game options in continuous time

DOI10.1080/17442508.2010.510908zbMath1247.91185OpenAlexW2050475264MaRDI QIDQ3108368

Yonatan Iron, Yuri Kifer

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.510908

zbMATH Keywords

game optionsswing optionsmultiple optimal stoppingmultiple exercise derivatives

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Dynkin's games and Israeli options ⋮ Error estimates for binomial approximations of game put options ⋮ Zero-Sum Markov Games with Impulse Controls

Cites Work

• Unnamed Item
• PERFECT AND PARTIAL HEDGING FOR SWING GAME OPTIONS IN DISCRETE TIME
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Game options
• Stochastic differential equations. An introduction with applications.

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