Hedging of game options with the presence of transaction costs

DOI10.1214/12-AAP898zbMath1318.91182arXiv1103.1165MaRDI QIDQ389062

Yan Dolinsky

Publication date: 17 January 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.1165

zbMATH Keywords

weak convergenceoptimal stoppingtransaction costssuper-replicationgame options

Mathematics Subject Classification ID

2-person games (91A05) Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (7)

The Dynkin game with regime switching and applications to pricing game options ⋮ Duality and convergence for binomial markets with friction ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ Dynkin's games and Israeli options ⋮ Super-replication with fixed transaction costs ⋮ LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS ⋮ Estimating processes in adapted Wasserstein distance

Cites Work

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• On the value of optimal stopping games
• On the possibility of hedging options in the presence of transaction costs
• Explicit solution to the multivariate super-replication problem under transaction costs.
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• Consistent price systems and face-lifting pricing under transaction costs
• The face-lifting theorem for proportional transaction costs in multiasset models
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• Stochastic Integrals and Conditional Full Support
• Game options

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