Perfect and partial hedging for swing game options in discrete time

Y. Dolinsky, Y. Iron and Y. Kifer

Papers from arXiv.org

Abstract: The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without restrictions we derive a formula for valuation of multiple exercise options via classical hedging arguments. Introducing the notion of the shortfall risk for such options we study also partial hedging which leads to minimization of this risk.

Date: 2009-07
References: Add references at CitEc
Citations:

Published in Mathematical Finance 21 (2011), 447-474

Downloads: (external link)
http://arxiv.org/pdf/0907.2541 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0907.2541

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().