Hedging with risk for game options in discrete time

DOI10.1080/17442500601097784zbMath1151.91503MaRDI QIDQ3429339

Yan Dolinsky, Yuri Kifer

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500601097784

Mathematics Subject Classification ID

91A05: 2-person games

60G40: Stopping times; optimal stopping problems; gambling theory

62L15: Optimal stopping in statistics

Related Items

SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS, Game Options in an Imperfect Market with Default, The efficient hedging problem for American options, Arbitrage-free pricing of multi-person game claims in discrete time, Binomial approximations of shortfall risk for game options, Defaultable game options in a hazard process model, Optimal partial hedging of an American option: shifting the focus to the expiration date, Dynkin's games and Israeli options, Path-dependent game options with Asian features, On shortfall risk minimization for game options, PERFECT AND PARTIAL HEDGING FOR SWING GAME OPTIONS IN DISCRETE TIME, Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model

Cites Work

• The efficient hedging problem for American options
• Error estimates for binomial approximations of game options
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• Explicit solutions for shortfall risk minimization in multinomial models.
• Some calculations for Israeli options
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Quantile hedging
• On dynamic measure of risk
• Pricing Israeli options: a pathwise approach
• Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Game options