PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS

Alet Roux ()
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Alet Roux: Department of Mathematics, University of York, Heslington, YO10 5DD, United Kingdom

International Journal of Theoretical and Applied Finance (IJTAF), 2016, vol. 19, issue 07, 1-25

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.

Keywords: Game options; game contingent claims; Israeli options; proportional transaction costs; currency model; superhedging; optimal exercise (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S0219024916500436

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