Hedging of game options in discrete markets with transaction costs

2012/06/20 by Kifer, Yuri
#Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1206.4506

Abstract

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.

Related

• Hedging of Game Options With the Presence of Transaction Costs
• Pricing and hedging game options in currency models with proportional transaction costs
• Risk Minimization for Game Options in Markets Imposing Minimal Transaction Costs
• Game options with gradual exercise and cancellation under proportional transaction costs
• Hedging of Game Options under Model Uncertainty in Discrete Time