Dynkin Games and Israeli Options
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.
References listed on IDEAS
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.:
- Solan, Eilon & Vieille, Nicolas, 2003.
"Deterministic multi-player Dynkin games,"
Journal of Mathematical Economics,
Elsevier, vol. 39(8), pages 911-929, November.
- Eilon Solan & Nicolas Vielle, 2002. "Deterministic Multi-Player Dynkin Games," Discussion Papers 1355, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Nicolas Vieille & Eilon Solan, 2003. "Deterministic multi-player Dynkin games," Post-Print hal-00464953, HAL.
- Nicolas, VIEILLE & Eilon, SOLAN, 2003. "Deterministic Multi-Player Dynkin Games," Les Cahiers de Recherche 772, HEC Paris.
- Eilon Solan & Nicolas Vieille, 2003. "Deterministic Multi-Player Dynkin Games," Working Papers hal-00591681, HAL.
- 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.
- Dinah Rosenberg & Nicolas Vieille & Eilon Solan, 2001. "Stopping games with randomized strategies," Post-Print hal-00465029, HAL.
- Kuhn, Christoph, 2004. "Game contingent claims in complete and incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 40(8), pages 889-902, December.
- Stéphane Villeneuve & Erik Ekstrom, 2006. "On the Value of Optimal Stopping Games," Post-Print hal-00173182, HAL.
- Erik Ekstr\"om & Stephane Villeneuve, 2006. "On the value of optimal stopping games," Papers math/0610324, arXiv.org.
- Yan Dolinsky & Yuri Kifer, 2008. "Binomial approximations of shortfall risk for game options," Papers 0811.1896, arXiv.org.
- 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.
- Luis H. R. Alvarez E., 2006. "A Class of Solvable Stopping Games," Discussion Papers 11, Aboa Centre for Economics.
- Rida Laraki & Eilon Solan, 2002. "Stopping Games in Continuous Time," Discussion Papers 1354, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- 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.
- Yuri Kifer, 2006. "Error estimates for binomial approximations of game options," Papers math/0607123, arXiv.org.
- René Carmona & Nizar Touzi, 2008. "Optimal Multiple Stopping And Valuation Of Swing Options," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 239-268.
- 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.
- 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.
- Nowak, Andrzej S. & Szajowski, Krzysztof, 1998. "Nonzero-sum Stochastic Games," MPRA Paper 19995, University Library of Munich, Germany, revised 1999.
- 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.
- Andreas Kyprianou, 2004. "Some calculations for Israeli options," Finance and Stochastics, Springer, vol. 8(1), pages 73-86, January.
- Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
- 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.
- repec:dau:papers:123456789/1805 is not listed on IDEAS
- Bruno Bouchard & Emmanuel Temam, 2005. "On the Hedging of American Options in Discrete Time Markets with Proportional Transaction Costs," Papers math/0502189, 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. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1209.1791. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.