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Dynkin Games and Israeli Options

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  • Yuri Kifer
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    Abstract

    We start briefly surveying research on optimal stopping games since their introduction by E.B.Dynkin more than 40 years ago. Recent renewed interest to dynkin's games is due, in particular, to the study of Israeli (game) options introduced in 2000. We discuss the work on these options and related derivative securities for the last decade. Among various results on game options we consider error estimates for their discrete approximations, swing game options, game options in markets with transaction costs and other questions.

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    File URL: http://arxiv.org/pdf/1209.1791
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1209.1791.

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    Date of creation: Sep 2012
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    Publication status: Published in ISRN Probability and Statistics 2012
    Handle: RePEc:arx:papers:1209.1791

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    1. Luis H. R. Alvarez E., 2006. "Minimum Guaranteed Payments and Costly Cancellation Rights: A Stopping Game Perspective," Discussion Papers 12, Aboa Centre for Economics.
    2. Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, arXiv.org.
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    8. Temam, Emmanuel & Bouchard, Bruno, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Economics Papers from University Paris Dauphine 123456789/1805, Paris Dauphine University.
    9. Yan Dolinsky & Yuri Kifer, 2008. "Binomial approximations of shortfall risk for game options," Papers 0811.1896, arXiv.org.
    10. René Carmona & Nizar Touzi, 2008. "Optimal Multiple Stopping And Valuation Of Swing Options," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 239-268.
    11. Tomasz R. Bielecki & Stéphane Crépey & Monique Jeanblanc & Marek Rutkowski, 2008. "Defaultable Options In A Markovian Intensity Model Of Credit Risk," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 493-518.
    12. Tomasz Bielecki & Stephane Crepey & Monique Jeanblanc & Marek Rutkowski, 2008. "Arbitrage pricing of defaultable game options with applications to convertible bonds," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 795-810.
    13. Kyoko Yagi & Katsushige Sawaki, 2010. "The Valuation Of Callable-Puttable Reverse Convertible Bonds," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 27(02), pages 189-209.
    14. Rida Laraki & Eilon Solan, 2002. "Stopping Games in Continuous Time," Discussion Papers 1354, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    15. Jan Kallsen & Christoph Kühn, 2004. "Pricing derivatives of American and game type in incomplete markets," Finance and Stochastics, Springer, vol. 8(2), pages 261-284, 05.
    16. Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
    17. Hamadène, S. & Wang, H., 2009. "BSDEs with two RCLL reflecting obstacles driven by Brownian motion and Poisson measure and a related mixed zero-sum game," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2881-2912, September.
    18. Yuri Kifer, 2006. "Error estimates for binomial approximations of game options," Papers math/0607123, arXiv.org.
    19. Luis H. R. Alvarez E., 2006. "A Class of Solvable Stopping Games," Discussion Papers 11, Aboa Centre for Economics.
    20. Yagi, Kyoko & Sawaki, Katsushige, 2010. "The pricing and optimal strategies of callable warrants," European Journal of Operational Research, Elsevier, vol. 206(1), pages 123-130, October.
    21. Dinah Rosenberg & Eilon Solan & Nicolas Vieille, 1999. "Stopping Games with Randomized Strategies," Discussion Papers 1258, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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