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Game contingent claims in complete and incomplete markets

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  • Kuhn, Christoph
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    File URL: http://www.sciencedirect.com/science/article/B6VBY-4BH6BFX-6/2/08e9afbfa715f43cf74ecf306b5433cf
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Mathematical Economics.

    Volume (Year): 40 (2004)
    Issue (Month): 8 (December)
    Pages: 889-902

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    Handle: RePEc:eee:mateco:v:40:y:2004:i:8:p:889-902

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    Web page: http://www.elsevier.com/locate/jmateco

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Eran Shmaya & Eilon Solan, 2002. "Two Player Non Zero-Sum Stopping Games in Discrete Time," Discussion Papers 1347, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. McConnell, John J & Schwartz, Eduardo S, 1986. " LYON Taming," Journal of Finance, American Finance Association, vol. 41(3), pages 561-76, July.
    3. Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
    4. Brennan, M J & Schwartz, Eduardo S, 1977. "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion," Journal of Finance, American Finance Association, vol. 32(5), pages 1699-1715, December.
    5. Ingersoll, Jonathan E, Jr, 1977. "An Examination of Corporate Call Policies on Convertible Securities," Journal of Finance, American Finance Association, vol. 32(2), pages 463-78, May.
    6. S. D. Jacka, 1992. "A Martingale Representation Result and an Application to Incomplete Financial Markets," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 239-250.
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    Cited by:
    1. Said Hamadene & Jianfeng Zhang, 2008. "The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options," Papers 0810.5698, arXiv.org.
    2. Yuri Kifer, 2012. "Dynkin Games and Israeli Options," Papers 1209.1791, arXiv.org.

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