Hedging of game options in discrete markets with transaction costs

DOI10.1080/17442508.2013.795566zbMath1287.91145arXiv1206.4506OpenAlexW2963970448MaRDI QIDQ5410803

Yuri Kifer

Publication date: 17 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.4506

zbMATH Keywords

transaction costsDynkin gamessuperhedginggame options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Game options with gradual exercise and cancellation under proportional transaction costs ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ Dynkin's games and Israeli options ⋮ PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS

Cites Work

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• Markets with transaction costs. Mathematical theory.
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• On a randomized strategy in Neveu's stopping problem
• Randomized Stopping Times and American Option Pricing with Transaction Costs
• Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions
• Continuous-Time Dynkin Games with Mixed Strategies
• Game options

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