AbstractI introduce and study new derivative securities which I call game options (or Israeli options to put them in line with American, European, Asian, Russian etc. ones). These are contracts which enable both their buyer and seller to stop them at any time and then the buyer can exercise the right to buy (call option) or to sell (put option) a specified security for certain agreed price. If the contract is terminated by the seller he must pay certain penalty to the buyer. A more general case of game contingent claims is considered. The analysis is based on the theory of optimal stopping games (Dynkin's games). Game options can be sold cheaper than usual American options and their introduction could diversify financial markets.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 4 (2000)
Issue (Month): 4 ()
Note: received: June 1999; final version received: November 1999
Contact details of provider:
Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Yuri Kifer, 2012. "Dynkin Games and Israeli Options," Papers 1209.1791, arXiv.org.
- Yan Dolinsky & Yuri Kifer, 2009. "Binomial Approximations for Barrier Options of Israeli Style," Papers 0907.4136, arXiv.org.
- Protter, Philip, 2001. "A partial introduction to financial asset pricing theory," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 169-203, February.
- Jérôme Detemple & Weidong Tian & Jie Xiong, 2012. "An optimal stopping problem with a reward constraint," Finance and Stochastics, Springer, vol. 16(3), pages 423-448, July.
- Steffensen, Mogens, 2002. "Intervention options in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 71-85, August.
- Hsuan-Ku Liu, 2013. "The pricing formula for cancellable European options," Papers 1304.5962, arXiv.org, revised May 2013.
- S\"oren Christensen, 2011. "Optimal decision under ambiguity for diffusion processes," Papers 1110.3897, arXiv.org, revised Oct 2012.
- Y. Iron & Y. Kifer, 2012. "Error estimates for binomial approximations of game put options," Papers 1206.0153, arXiv.org, revised Oct 2013.
- Egami, Masahiko, 2010. "A game options approach to the investment problem with convertible debt financing," Journal of Economic Dynamics and Control, Elsevier, vol. 34(8), pages 1456-1470, August.
- Kuhn, Christoph, 2004. "Game contingent claims in complete and incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 40(8), pages 889-902, December.
- Yuri Kifer, 2012. "Hedging of game options in discrete markets with transaction costs," Papers 1206.4506, arXiv.org.
- Luis H. R. Alvarez E., 2006. "Minimum Guaranteed Payments and Costly Cancellation Rights: A Stopping Game Perspective," Discussion Papers 12, Aboa Centre for Economics.
- Rida Laraki & Eilon Solan, 2012. "Equilibrium in Two-Player Nonzero-Sum Dynkin Games in Continuous Time," Working Papers hal-00753508, HAL.
- C.S. Forbes & G.M. Martin & J. Wright, 2002. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers 2/02, Monash University, Department of Econometrics and Business Statistics.
- Haishi Huang, 2009. "Convertible Bonds: Risks and Optimal Strategies," Bonn Econ Discussion Papers bgse07_2010, University of Bonn, Germany.
- Zhang, Heng & Yang, Ming & Bao, Jiye & Gong, Pu, 2013. "Competitive investing equilibrium under a procurement mechanism," Economic Modelling, Elsevier, vol. 31(C), pages 734-738.
- Egami, Masahiko & Leung, Tim & Yamazaki, Kazutoshi, 2013.
"Default swap games driven by spectrally negative Lévy processes,"
Stochastic Processes and their Applications,
Elsevier, vol. 123(2), pages 347-384.
- Masahiko Egami & Tim S. T. Leung & Kazutoshi Yamazaki, 2011. "Default Swap Games Driven by Spectrally Negative Levy Processes," Papers 1105.0238, arXiv.org, revised Sep 2012.
- Min Dai & Zuo Quan Xu, 2009. "Optimal Redeeming Strategy of Stock Loans," Papers 0906.0702, arXiv.org.
- Luis H. R. Alvarez E., 2006. "A Class of Solvable Stopping Games," Discussion Papers 11, Aboa Centre for Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.