Properties of game options (Q883071)
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scientific article; zbMATH DE number 5159737
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Properties of game options |
scientific article; zbMATH DE number 5159737 |
Statements
Properties of game options (English)
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31 May 2007
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The author proposes an interesting study on an american option analysed as a game. The most relevant result obtained concerns the value of this perpetual game option in terms of excessive functions with a lot of examples in this direction. Some important results are obtained in the frame of the volatility connected to the general context.
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optimal stopping games
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excessive functions
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volatility
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price orderings
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