Pricing Israeli options: a pathwise approach

DOI10.1080/17442500600976442zbMath1284.91549OpenAlexW2011731512MaRDI QIDQ3429336

Christoph Kühn, Andreas E. Kyprianou, Kees van Schaik

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500600976442

zbMATH Keywords

Monte Carlo simulationhedging strategiesDynkin gamesIsraeli optionsconvertible bonds

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Numerical scheme for Dynkin games under model uncertainty ⋮ Dynkin's games and Israeli options ⋮ Arbitrage-free pricing of multi-person game claims in discrete time ⋮ Nonzero-sum games of optimal stopping for Markov processes ⋮ Error estimates for binomial approximations of game options ⋮ Pathwise Dynamic Programming ⋮ Valuation of game options in jump-diffusion model and with applications to convertible bonds ⋮ Hedging with risk for game options in discrete time

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