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Some calculations for Israeli options

Citations

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Cited by:

  1. Tiziano De Angelis & Fabien Gensbittel & St'ephane Villeneuve, 2017. "A Dynkin game on assets with incomplete information on the return," Papers 1705.07352, arXiv.org, revised May 2019.
  2. Hsuan-Ku Liu, 2021. "Perpetual callable American volatility options in a mean-reverting volatility model," Papers 2104.01127, arXiv.org.
  3. Yan Dolinsky, 2020. "On Shortfall Risk Minimization for Game Options," Papers 2002.01528, arXiv.org.
  4. Guo, Peidong & Zhang, Jizhou & Wang, Qian, 2020. "Path-dependent game options with Asian features," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
  5. Tiziano De Angelis & Nikita Merkulov & Jan Palczewski, 2020. "On the value of non-Markovian Dynkin games with partial and asymmetric information," Papers 2007.10643, arXiv.org, revised Feb 2021.
  6. Shuqing Jiang & Zongxia Liang & Weiming Wu, 2010. "Stock loan with Automatic termination clause, cap and margin," Papers 1005.1357, arXiv.org, revised Sep 2010.
  7. Hsuan-Ku Liu, 2013. "The pricing formula for cancellable European options," Papers 1304.5962, arXiv.org, revised Sep 2014.
  8. Benjamin Gottesman Berdah, 2020. "Recombining tree approximations for Game Options in Local Volatility models," Papers 2007.02323, arXiv.org, revised Jul 2020.
  9. 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.
  10. Lerche Hans Rudolf & Stich Dominik, 2013. "A harmonic function approach to Nash-equilibria of Kifer-type stopping games," Statistics & Risk Modeling, De Gruyter, vol. 30(2), pages 169-180, June.
  11. de Angelis, Tiziano & Ferrari, Giorgio & Moriarty, John, 2016. "Nash equilibria of threshold type for two-player nonzero-sum games of stopping," Center for Mathematical Economics Working Papers 563, Center for Mathematical Economics, Bielefeld University.
  12. 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.
  13. Peidong Guo & Qihong Chen & Xicai Guo & Yue Fang, 2014. "Path-dependent game options: a lookback case," Review of Derivatives Research, Springer, vol. 17(1), pages 113-124, April.
  14. Ivan Guo & Marek Rutkowski, 2017. "Arbitrage-free pricing of multi-person game claims in discrete time," Finance and Stochastics, Springer, vol. 21(1), pages 111-155, January.
  15. Gapeev Pavel V. & Kühn Christoph, 2005. "Perpetual convertible bonds in jump-diffusion models," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 15-31, January.
  16. Luis H. R. Alvarez E., 2006. "Minimum Guaranteed Payments and Costly Cancellation Rights: A Stopping Game Perspective," Discussion Papers 12, Aboa Centre for Economics.
  17. Yuri Kifer, 2012. "Dynkin Games and Israeli Options," Papers 1209.1791, arXiv.org.
  18. 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.
  19. 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.
  20. Boyarchenko, Svetlana & Levendorskiĭ, Sergei, 2014. "Preemption games under Lévy uncertainty," Games and Economic Behavior, Elsevier, vol. 88(C), pages 354-380.
  21. Luis H. R. Alvarez E., 2006. "A Class of Solvable Stopping Games," Discussion Papers 11, Aboa Centre for Economics.
  22. Erik Ekström, 2006. "Properties of game options," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(2), pages 221-238, May.
  23. Zaevski, Tsvetelin S., 2020. "Discounted perpetual game put options," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
  24. Baurdoux, Erik J. & Kyprianou, Andreas E., 2004. "Further calculations for Israeli options," LSE Research Online Documents on Economics 23916, London School of Economics and Political Science, LSE Library.
  25. Tianyang Nie & Edward Kim & Marek Rutkowski, 2018. "Arbitrage-Free Pricing of Game Options in Nonlinear Markets," Papers 1807.05448, arXiv.org.
  26. Y. Iron & Y. Kifer, 2012. "Error estimates for binomial approximations of game put options," Papers 1206.0153, arXiv.org, revised Oct 2013.
  27. Gunter H Meyer, 2016. "A PDE View of Games Options," Research Paper Series 369, Quantitative Finance Research Centre, University of Technology, Sydney.
  28. Huang, Haishi, 2010. "Convertible Bonds: Risks and Optimal Strategies," Bonn Econ Discussion Papers 07/2010, University of Bonn, Bonn Graduate School of Economics (BGSE).
  29. Yan Dolinsky & Ariel Neufeld, 2015. "Super-replication in Fully Incomplete Markets," Papers 1508.05233, arXiv.org, revised Sep 2016.
  30. 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.
  31. Zaevski, Tsvetelin S., 2020. "Discounted perpetual game call options," Chaos, Solitons & Fractals, Elsevier, vol. 131(C).
  32. Yuri Kifer, 2006. "Error estimates for binomial approximations of game options," Papers math/0607123, arXiv.org.
  33. Ivan Guo & Marek Rutkowski, 2014. "Arbitrage Pricing of Multi-person Game Contingent Claims," Papers 1405.2718, arXiv.org.
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