By the same authors

Game options with gradual exercise and cancellation under proportional transaction costs

Research output: Working paperPreprint

Standard

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

arXiv, 2016.

Research output: Working paperPreprint

Harvard

Roux, A & Zastawniak, TJ 2016 'Game options with gradual exercise and cancellation under proportional transaction costs' arXiv. <http://arxiv.org/abs/1612.02312>

APA

Roux, A., & Zastawniak, T. J. (2016). Game options with gradual exercise and cancellation under proportional transaction costs. arXiv. http://arxiv.org/abs/1612.02312

Vancouver

Roux A, Zastawniak TJ. Game options with gradual exercise and cancellation under proportional transaction costs. arXiv. 2016 Dec 8.

Author

Roux, Alet ; Zastawniak, Tomasz Jerzy. / Game options with gradual exercise and cancellation under proportional transaction costs. arXiv, 2016.

Bibtex - Download

@techreport{8623a7e607334b5782d9dd5cf9c899e9,
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.",
keywords = "game options, transaction costs, pricing and hedging",
author = "Alet Roux and Zastawniak, {Tomasz Jerzy}",
year = "2016",
month = dec,
day = "8",
language = "English",
volume = "1612.02312",
publisher = "arXiv",
type = "WorkingPaper",
institution = "arXiv",

}

RIS (suitable for import to EndNote) - Download

TY - UNPB

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

AU - Roux, Alet

AU - Zastawniak, Tomasz Jerzy

PY - 2016/12/8

Y1 - 2016/12/8

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.

KW - game options

KW - transaction costs

KW - pricing and hedging

M3 - Preprint

VL - 1612.02312

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

PB - arXiv

ER -