Hedging with risk for game options in discrete time
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Publication:3429339
DOI10.1080/17442500601097784zbMath1151.91503OpenAlexW2002128298MaRDI QIDQ3429339
Publication date: 30 March 2007
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500601097784
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Related Items (12)
Path-dependent game options with Asian features ⋮ SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS ⋮ Optimal partial hedging of an American option: shifting the focus to the expiration date ⋮ Game Options in an Imperfect Market with Default ⋮ Dynkin's games and Israeli options ⋮ The efficient hedging problem for American options ⋮ PERFECT AND PARTIAL HEDGING FOR SWING GAME OPTIONS IN DISCRETE TIME ⋮ Arbitrage-free pricing of multi-person game claims in discrete time ⋮ On shortfall risk minimization for game options ⋮ Binomial approximations of shortfall risk for game options ⋮ Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model ⋮ Defaultable game options in a hazard process model
Cites Work
- The efficient hedging problem for American options
- Error estimates for binomial approximations of game options
- Efficient hedging: cost versus shortfall risk
- Explicit solutions for shortfall risk minimization in multinomial models.
- Some calculations for Israeli options
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- Quantile hedging
- On dynamic measure of risk
- Pricing Israeli options: a pathwise approach
- Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating
- On the existence of an efficient hedge for an American contingent claim within a discrete time market
- Game options
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