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

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JournalInternational Journal of Theoretical and Applied Finance
DateSubmitted - 19 Oct 2015
DateAccepted/In press - 27 Jun 2016
DatePublished (current) - 12 Aug 2016
Issue number7
Volume19
Number of pages25
Original languageEnglish

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.

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© World Scientific Publishing Company, 2016. 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

    Research areas

  • currency model, game contingent claims, Game options, Israeli options, optimal exercise, proportional transaction costs, superhedging

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