Roux, Alet orcid.org/0000-0001-9176-4468 (2016) Pricing and hedging game options in currency models with proportional transaction costs. International Journal of Theoretical and Applied Finance. 1650043. ISSN 0219-0249
Abstract
The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise strategies are presented, together with numerical examples, as well as probabilistic dual representations for the bid and ask price of a game option.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © World Scientific Publishing Company, 2016. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details |
Keywords: | currency model,game contingent claims,Game options,Israeli options,optimal exercise,proportional transaction costs,superhedging |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Sciences (York) > Mathematics (York) |
Depositing User: | Pure (York) |
Date Deposited: | 24 Aug 2016 10:21 |
Last Modified: | 16 Oct 2024 12:35 |
Published Version: | https://doi.org/10.1142/S0219024916500436 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1142/S0219024916500436 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:104030 |
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Filename: game_options_IJTAF_accepted.pdf
Description: Accepted author manuscript with rights statement