GAME CALL OPTIONS REVISITED
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Publication:5411399
DOI10.1111/mafi.12000zbMath1304.91228OpenAlexW2140108588MaRDI QIDQ5411399
Wei Zhou, Sheung Chi Phillip Yam, Siu Pang Yung
Publication date: 23 April 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12000
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)
Related Items (9)
Path-dependent game options with Asian features ⋮ Numerical scheme for Dynkin games under model uncertainty ⋮ Strategic bank closure and deposit insurance valuation ⋮ Perpetual cancellable American options with convertible features ⋮ Perpetual game options with a multiplied penalty ⋮ Dynkin's games and Israeli options ⋮ Dynkin games with heterogeneous beliefs ⋮ A Dynkin Game on Assets with Incomplete Information on the Return ⋮ Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
Cites Work
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- Optimal Stopping and the American Put
- The Wiener Sequential Testing Problem with Finite Horizon
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- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
- Game options
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