Valuation of Russian game option under a jump diffusion model

MaRDI QIDQ3404706zbMATH OpenFDO

Authors Lei Wang, Zhi Ming Jin

Publication date 12 February 2010

zbMATH Keywords

free boundary problemgame optionincomplete marketPoisson jump

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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• Valuation of game options in jump-diffusion model and with applications to convertible bonds
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Cited in

(4)

• Valuation of game options in jump-diffusion model and with applications to convertible bonds
• The valuation of game option with random discounting
• Valuation of some game-type option with nonconstant volatility
• scientific article; zbMATH DE number 7278388 (Why is no real title available?)

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