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The Pricing Of Perpetual Game Put Options And Optimal Boundaries

In: Recent Advances In Stochastic Operations Research

Author

Listed:
  • ATSUO SUZUKI

    (Nanzan University, 27 Seirei-cho, Aichi, Japan)

  • KATSUSHIGE SAWAKI

    (Nanzan University, 27 Seirei-cho, Aichi, Japan)

Abstract

In this paper we deal with the pricing model of game options introduced by Kifer which is a contract in that the seller and the buyer have both the rights to cancel and to exercise it at any time, respectively. First, we discuss the pricing of perpetual game put options by applying the first hitting time approach of a Brownian motion, when the stock pays dividends continuously. Secondly, we investigate properties of optimal boundaries of the seller and the buyer. Finally, some numerical results are presented to demonstrate analytical properties of the value function.

Suggested Citation

  • Atsuo Suzuki & Katsushige Sawaki, 2007. "The Pricing Of Perpetual Game Put Options And Optimal Boundaries," World Scientific Book Chapters, in: Tadashi Dohi & Shunji Osaki & Katsushige Sawaki (ed.), Recent Advances In Stochastic Operations Research, chapter 12, pages 175-187, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812706683_0012
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    Cited by:

    1. Tsvetelin S. Zaevski, 2022. "Pricing cancellable American put options on the finite time horizon," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1284-1303, July.
    2. Zaevski, Tsvetelin S., 2020. "Discounted perpetual game put options," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).

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