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Hedging of game options in discrete markets with transaction costs

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  • Yuri Kifer

Abstract

We construct algorithms for computation of prices and superhedging strategies for game options in general discrete markets both from the seller and the buyer points of view.

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  • Yuri Kifer, 2012. "Hedging of game options in discrete markets with transaction costs," Papers 1206.4506, arXiv.org.
    • Handle: RePEc:arx:papers:1206.4506
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    References listed on IDEAS

    as
    1. Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
    2. Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
    3. repec:dau:papers:123456789/1805 is not listed on IDEAS
    4. Prasad Chalasani & Somesh Jha, 2001. "Randomized Stopping Times and American Option Pricing with Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 11(1), pages 33-77, January.
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