By the same authors

Game options with gradual exercise and cancellation under proportional transaction costs

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Game options with gradual exercise and cancellation under proportional transaction costs. / Roux, Alet; Zastawniak, Tomasz Jerzy.

In: Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 90, No. 8, 24.07.2018.

Research output: Contribution to journalArticlepeer-review

Harvard

Roux, A & Zastawniak, TJ 2018, 'Game options with gradual exercise and cancellation under proportional transaction costs', Stochastics: An International Journal of Probability and Stochastic Processes, vol. 90, no. 8. https://doi.org/10.1080/17442508.2018.1499102

APA

Roux, A., & Zastawniak, T. J. (2018). Game options with gradual exercise and cancellation under proportional transaction costs. Stochastics: An International Journal of Probability and Stochastic Processes, 90(8). https://doi.org/10.1080/17442508.2018.1499102

Vancouver

Roux A, Zastawniak TJ. Game options with gradual exercise and cancellation under proportional transaction costs. Stochastics: An International Journal of Probability and Stochastic Processes. 2018 Jul 24;90(8). https://doi.org/10.1080/17442508.2018.1499102

Author

Roux, Alet ; Zastawniak, Tomasz Jerzy. / Game options with gradual exercise and cancellation under proportional transaction costs. In: Stochastics: An International Journal of Probability and Stochastic Processes. 2018 ; Vol. 90, No. 8.

Bibtex - Download

@article{6b9bf66bb9ba44d4b0679eaa15d1485d,
title = "Game options with gradual exercise and cancellation under proportional transaction costs",
abstract = "Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has the right to cancel the option gradually at a mixed (or randomised) stopping time, rather than instantly at an ordinary stopping time. Allowing gradual exercise and cancellation leads to increased flexibility in hedging, and hence tighter bounds on the option price as compared to the case of instantaneous exercise and cancellation. Algorithmic constructions for the bid and ask prices, and the associated superhedging strategies and optimal mixed stopping times for both exercise and cancellation are developed and illustrated. Probabilistic dual representations for bid and ask prices are also established.",
author = "Alet Roux and Zastawniak, {Tomasz Jerzy}",
note = "{\textcopyright} 2018 Informa UK Limited, trading as Taylor & Francis Group. This is an author-produced version of the published paper. Uploaded in accordance with the publisher{\textquoteright}s self-archiving policy. Further copying may not be permitted; contact the publisher for details",
year = "2018",
month = jul,
day = "24",
doi = "10.1080/17442508.2018.1499102",
language = "English",
volume = "90",
journal = "Stochastics: An International Journal of Probability and Stochastic Processes",
publisher = "Taylor & Francis;",
number = "8",

}

RIS (suitable for import to EndNote) - Download

TY - JOUR

T1 - Game options with gradual exercise and cancellation under proportional transaction costs

AU - Roux, Alet

AU - Zastawniak, Tomasz Jerzy

N1 - © 2018 Informa UK Limited, trading as Taylor & Francis Group. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details

PY - 2018/7/24

Y1 - 2018/7/24

N2 - Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has the right to cancel the option gradually at a mixed (or randomised) stopping time, rather than instantly at an ordinary stopping time. Allowing gradual exercise and cancellation leads to increased flexibility in hedging, and hence tighter bounds on the option price as compared to the case of instantaneous exercise and cancellation. Algorithmic constructions for the bid and ask prices, and the associated superhedging strategies and optimal mixed stopping times for both exercise and cancellation are developed and illustrated. Probabilistic dual representations for bid and ask prices are also established.

AB - Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has the right to cancel the option gradually at a mixed (or randomised) stopping time, rather than instantly at an ordinary stopping time. Allowing gradual exercise and cancellation leads to increased flexibility in hedging, and hence tighter bounds on the option price as compared to the case of instantaneous exercise and cancellation. Algorithmic constructions for the bid and ask prices, and the associated superhedging strategies and optimal mixed stopping times for both exercise and cancellation are developed and illustrated. Probabilistic dual representations for bid and ask prices are also established.

U2 - 10.1080/17442508.2018.1499102

DO - 10.1080/17442508.2018.1499102

M3 - Article

VL - 90

JO - Stochastics: An International Journal of Probability and Stochastic Processes

JF - Stochastics: An International Journal of Probability and Stochastic Processes

IS - 8

ER -