GAME CALL OPTIONS REVISITED

DOI10.1111/mafi.12000zbMath1304.91228MaRDI QIDQ5411399

Wei Zhou, Sheung Chi Phillip Yam, Siu Pang Yung

Publication date: 23 April 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12000

zbMATH Keywords

free boundary; stopping region; game call options; optimal stopping (Dynkin) games

Mathematics Subject Classification ID

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

60G44: Martingales with continuous parameter

91G80: Financial applications of other theories

91A15: Stochastic games, stochastic differential games

91G20: Derivative securities (option pricing, hedging, etc.)

35R35: Free boundary problems for PDEs

Related Items

Dynkin games with heterogeneous beliefs, A Dynkin Game on Assets with Incomplete Information on the Return, Perpetual cancellable American options with convertible features, Numerical scheme for Dynkin games under model uncertainty, Dynkin's games and Israeli options, Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon, Path-dependent game options with Asian features, Strategic bank closure and deposit insurance valuation, Perpetual game options with a multiplied penalty

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