Valuation of game options in jump-diffusion model and with applications to convertible bonds
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Publication:1040052
DOI10.1155/2009/945923zbMath1175.91077OpenAlexW1983729109WikidataQ58646866 ScholiaQ58646866MaRDI QIDQ1040052
Publication date: 23 November 2009
Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/233211
Stefan problems, phase changes, etc. (80A22) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Game options with gradual exercise and cancellation under proportional transaction costs ⋮ Strategic bank closure and deposit insurance valuation ⋮ Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail ⋮ PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS
Cites Work
- Properties of game options
- A barrier option of American type
- Some calculations for Israeli options
- Optimal Stopping Problems for Asset Management
- Pricing Israeli options: a pathwise approach
- Perpetual Convertible Bonds
- Further calculations for Israeli options
- A Two‐Person Game for Pricing Convertible Bonds
- Perpetual convertible bonds in jump-diffusion models
- Game options
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