Hedging of game options in discrete markets with transaction costs
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete markets both from the seller and the buyer points of view.
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- 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.
- Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
- 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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