Some calculations for Israeli options
The author describes the concept of an Israeli (or game) option introduced by \textit{Yu. Kifer} [Finance Stoch. 4, No. 4, 443--463 (2000; Zbl 1066.91042)]. The pricing and hedging of these options is reduced to evaluating a saddle point problem associated with Dynkin games. In this paper two examples of perpetual Israeli options where solutions can be presented in the explicit form are demonstrated. The method of analysis is straightforward. The author guesses the form of the optimal stopping strategies using heuristic arguments based on fluctuation theory and then shows that the suggested solutions solve the associated saddle point problem. Martingale techniques are used. The Israeli \(\delta\)-penalty put and Russian options are considered and the solutions of the saddle point problem are presented for these cases. The paper is concluded with some remarks about Canadization and the finite expiry case.
- Callable Russian options and their optimal boundaries
- Valuation of game options in jump-diffusion model and with applications to convertible bonds
- Nash equilibria of threshold type for two-player nonzero-sum games of stopping
- Dynkin's games and Israeli options
- Path-dependent game options with Asian features
- On the value of non-Markovian Dynkin games with partial and asymmetric information
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- A class of solvable stopping games
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- Hedging with risk for game options in discrete time
- Further calculations for Israeli options
- Dynkin games with heterogeneous beliefs
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- PERPETUAL CANCELLABLE AMERICAN CALL OPTION
- A Dynkin game on assets with incomplete information on the return
- Arbitrage-free pricing of multi-person game claims in discrete time
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- A variational inequality from pricing convertible bond
- Further calculations for the McKean stochastic game for a spectrally negative Lévi process: from a point to an interval
- A Dynkin game with asymmetric information
- GAME CALL OPTIONS REVISITED
- Discounted optimal stopping problems in first-passage time models with random thresholds
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- On the American style futures contracts
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- Nonzero-sum games of optimal stopping for Markov processes
- Optimal stopping zero-sum games in continuous hidden Markov models
- Pricing formulas for American perpetual knock-out and callable volatility options
- Pricing finite maturity game call options with convertible features
- Properties of game options
- Error estimates for binomial approximations of game options
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