Hedging of game options in discrete markets with transaction costs
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Publication:5410803
DOI10.1080/17442508.2013.795566zbMath1287.91145arXiv1206.4506OpenAlexW2963970448MaRDI QIDQ5410803
Publication date: 17 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1206.4506
Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Game options with gradual exercise and cancellation under proportional transaction costs ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ Dynkin's games and Israeli options ⋮ PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS
Cites Work
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- Markets with transaction costs. Mathematical theory.
- American options under proportional transaction costs: pricing, hedging and stopping algorithms for long and short positions
- On a randomized strategy in Neveu's stopping problem
- Randomized Stopping Times and American Option Pricing with Transaction Costs
- Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions
- Continuous-Time Dynkin Games with Mixed Strategies
- Game options
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