Properties of game options
From MaRDI portal
Publication:883071
DOI10.1007/S00186-005-0027-3zbMATH Open1130.91013OpenAlexW2075601866MaRDI QIDQ883071FDOQ883071
Authors: Erik Ekström 
Publication date: 31 May 2007
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-005-0027-3
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15)
Cites Work
- On the optimal stopping problem for one-dimensional diffusions.
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- On the properties of \(r\)-excessive mappings for a class of diffusions
- Game options
- \(L_{q}\) (\(L_{p}\)) theory and Hölder estimates for parabolic SPDEs
- Some calculations for Israeli options
- Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
- Optimal Stopping of a Markov Process
Cited In (29)
- On the value of optimal stopping games
- The Dynkin game with regime switching and applications to pricing game options
- Valuation of some game-type option with nonconstant volatility
- PERPETUAL CANCELLABLE AMERICAN CALL OPTION
- The pricing and optimal strategies of callable warrants
- Strategic bank closure and deposit insurance valuation
- Path-dependent game options with Asian features
- On shortfall risk minimization for game options
- Perpetual game options with a multiplied penalty
- Nonzero-sum games of optimal stopping for Markov processes
- A class of solvable stopping games
- Path-dependent game options: a lookback case
- Solving an option game problem with finite expiration: optimizing terms of patent license agreements
- Valuation of Russian game option under a jump diffusion model
- Monotonicity of implied volatility for perpetual put options
- On the value of a time-inconsistent mean-field zero-sum Dynkin game
- Numerical scheme for Dynkin games under model uncertainty
- A game options approach to the investment problem with convertible debt financing
- Valuation of game options in jump-diffusion model and with applications to convertible bonds
- CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
- Time consistent pricing of options with embedded decisions
- Minimum guaranteed payments and costly cancellation rights: a stopping game perspective
- Equilibrium in two-player non-zero-sum Dynkin games in continuous time
- The valuation of game option with random discounting
- A Dynkin game with asymmetric information
- A zero-sum Poisson stopping game with asymmetric signal rates
- Variational inequalities and Dynkin games for Markov processes associated with semi-Dirichlet forms
- Doubly reflected BSDEs driven by RCLL martingales under stochastic Lipschitz coefficient
- Error estimates for binomial approximations of game options
This page was built for publication: Properties of game options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q883071)
