Further calculations for Israeli options

DOI10.1080/10451120412331313438zbMath1062.60043OpenAlexW2064461723MaRDI QIDQ4659573

A. E. Kyrianou, Erik J. Baurdoux

Publication date: 21 March 2005

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/23916/

zbMATH Keywords

option pricinglocal timestochastic gamesfree boundary value problemintegral optionsIsraeli options

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44) Signaling and communication in game theory (91A28) Local time and additive functionals (60J55) Boundary value problems for ordinary differential equations (34B99)

Related Items (8)

Path-dependent game options with Asian features ⋮ Optimal stopping problems for maxima and minima in models with asymmetric information ⋮ Path-dependent game options: a lookback case ⋮ Error estimates for binomial approximations of game options ⋮ Optimal stopping games in models with various information flows ⋮ Dynkin Games with Poisson Random Intervention Times ⋮ Valuation of game options in jump-diffusion model and with applications to convertible bonds ⋮ Discounted optimal stopping problems in first-passage time models with random thresholds

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