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Game Call Options Revisited

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  • S. C. P. Yam
  • S. P. Yung
  • W. Zhou

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  • S. C. P. Yam & S. P. Yung & W. Zhou, 2014. "Game Call Options Revisited," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 173-206, January.
    • Handle: RePEc:bla:mathfi:v:24:y:2014:i:1:p:173-206
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    References listed on IDEAS

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    1. Andreas Kyprianou, 2004. "Some calculations for Israeli options," Finance and Stochastics, Springer, vol. 8(1), pages 73-86, January.
    2. Stéphane Villeneuve, 2007. "On the Threshold Strategies and Smooth-Fit Principle For Optimal Stopping Problems," Post-Print hal-00173165, HAL.
    3. S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 1-14, April.
    4. Dayanik, Savas & Karatzas, Ioannis, 2003. "On the optimal stopping problem for one-dimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 107(2), pages 173-212, October.
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    Cited by:

    1. Guo, Peidong & Zhang, Jizhou & Wang, Qian, 2020. "Path-dependent game options with Asian features," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
    2. Hu, Guangxiao & Ma, Xiaoming & Ji, Junping, 2019. "Scenarios and policies for sustainable urban energy development based on LEAP model – A case study of a postindustrial city: Shenzhen China," Applied Energy, Elsevier, vol. 238(C), pages 876-886.
    3. Wong, Tat Wing & Fung, Ka Wai Terence & Leung, Kwai Sun, 2020. "Strategic bank closure and deposit insurance valuation," European Journal of Operational Research, Elsevier, vol. 285(1), pages 96-105.
    4. Tiziano De Angelis & Fabien Gensbittel & Stephane Villeneuve, 2021. "A Dynkin Game on Assets with Incomplete Information on the Return," Mathematics of Operations Research, INFORMS, vol. 46(1), pages 28-60, February.
    5. Gunter H Meyer, 2016. "A PDE View of Games Options," Research Paper Series 369, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. Jim, C.Y., 2015. "Cold-season solar input and ambivalent thermal behavior brought by climber greenwalls," Energy, Elsevier, vol. 90(P1), pages 926-938.
    7. Hsuan-Ku Liu, 2021. "Perpetual callable American volatility options in a mean-reverting volatility model," Papers 2104.01127, arXiv.org.
    8. Benjamin Gottesman Berdah, 2020. "Recombining tree approximations for Game Options in Local Volatility models," Papers 2007.02323, arXiv.org, revised Jul 2020.
    9. Tsvetelin S. Zaevski, 2022. "Pricing cancellable American put options on the finite time horizon," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1284-1303, July.
    10. Tiziano De Angelis, 2020. "Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon," Papers 2009.01276, arXiv.org, revised Jan 2022.
    11. Zaevski, Tsvetelin S., 2020. "Discounted perpetual game call options," Chaos, Solitons & Fractals, Elsevier, vol. 131(C).

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