Pricing and hedging game options in currency models with proportional transaction costs

Alet Roux

Papers from arXiv.org

Abstract: The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise strategies are presented, together with numerical examples, as well as probabilistic dual representations for the bid and ask price of a game option.

Date: 2015-04, Revised 2015-08
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