Properties of game options

DOI10.1007/s00186-005-0027-3zbMath1130.91013OpenAlexW2075601866MaRDI QIDQ883071

Erik Ekström

Publication date: 31 May 2007

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-005-0027-3

zbMATH Keywords

volatilityexcessive functionsoptimal stopping gamesprice orderings

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 (20)

MINIMUM GUARANTEED PAYMENTS AND COSTLY CANCELLATION RIGHTS: A STOPPING GAME PERSPECTIVE ⋮ Path-dependent game options with Asian features ⋮ The Dynkin game with regime switching and applications to pricing game options ⋮ A class of solvable stopping games ⋮ On the value of optimal stopping games ⋮ Numerical scheme for Dynkin games under model uncertainty ⋮ Time consistent pricing of options with embedded decisions ⋮ Strategic bank closure and deposit insurance valuation ⋮ Monotonicity of implied volatility for perpetual put options ⋮ A zero-sum Poisson stopping game with asymmetric signal rates ⋮ Path-dependent game options: a lookback case ⋮ On shortfall risk minimization for game options ⋮ A Dynkin game with asymmetric information ⋮ Equilibrium in two-player non-zero-sum Dynkin games in continuous time ⋮ PERPETUAL CANCELLABLE AMERICAN CALL OPTION ⋮ The pricing and optimal strategies of callable warrants ⋮ Nonzero-sum games of optimal stopping for Markov processes ⋮ A game options approach to the investment problem with convertible debt financing ⋮ Error estimates for binomial approximations of game options ⋮ Valuation of game options in jump-diffusion model and with applications to convertible bonds

Cites Work

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• On the properties of \(r\)-excessive mappings for a class of diffusions
• Some calculations for Israeli options
• \(L_{q}\) (\(L_{p}\)) theory and Hölder estimates for parabolic SPDEs
• On the optimal stopping problem for one-dimensional diffusions.
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Optimal Stopping of a Markov Process
• Game options

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