PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS

DOI10.1142/S0219024916500436zbMath1396.91761arXiv1504.07920OpenAlexW2159866863MaRDI QIDQ2836219

Alet Roux

Publication date: 8 December 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.07920

zbMATH Keywords

proportional transaction costssuperhedginggame optionsIsraeli optionsoptimal exercisecurrency modelgame contingent claims

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Path-dependent game options with Asian features ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ Perpetual cancellable American options with convertible features

Uses Software

• Convex

Cites Work

• Markets with transaction costs. Mathematical theory.
• Valuation of game options in jump-diffusion model and with applications to convertible bonds
• Randomized Stopping Times and American Option Pricing with Transaction Costs
• AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS
• Hedging of game options in discrete markets with transaction costs
• Stochastic finance. An introduction in discrete time
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

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