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

Research output: Contribution to journalArticlepeer-review

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Pricing and hedging game options in currency models with proportional transaction costs. / Roux, Alet.

In: International Journal of Theoretical and Applied Finance, Vol. 19, No. 7, 1650043, 12.08.2016.

Research output: Contribution to journalArticlepeer-review

Harvard

Roux, A 2016, 'Pricing and hedging game options in currency models with proportional transaction costs', International Journal of Theoretical and Applied Finance, vol. 19, no. 7, 1650043. https://doi.org/10.1142/S0219024916500436

APA

Roux, A. (2016). Pricing and hedging game options in currency models with proportional transaction costs. International Journal of Theoretical and Applied Finance, 19(7), [1650043]. https://doi.org/10.1142/S0219024916500436

Vancouver

Roux A. Pricing and hedging game options in currency models with proportional transaction costs. International Journal of Theoretical and Applied Finance. 2016 Aug 12;19(7). 1650043. https://doi.org/10.1142/S0219024916500436

Author

Roux, Alet. / Pricing and hedging game options in currency models with proportional transaction costs. In: International Journal of Theoretical and Applied Finance. 2016 ; Vol. 19, No. 7.

Bibtex - Download

@article{3bd50c4016cf4e82bbee687802e6582b,
title = "Pricing and hedging game options in currency models with proportional transaction costs",
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 = "currency model, game contingent claims, Game options, Israeli options, optimal exercise, proportional transaction costs, superhedging",
author = "Alet Roux",
note = "{\textcopyright} World Scientific Publishing Company, 2016. 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 = "2016",
month = aug,
day = "12",
doi = "10.1142/S0219024916500436",
language = "English",
volume = "19",
journal = "International Journal of Theoretical and Applied Finance",
issn = "0219-0249",
publisher = "World Scientific Publishing Co. Pte Ltd",
number = "7",

}

RIS (suitable for import to EndNote) - Download

TY - JOUR

T1 - Pricing and hedging game options in currency models with proportional transaction costs

AU - Roux, Alet

N1 - © 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

PY - 2016/8/12

Y1 - 2016/8/12

N2 - 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.

AB - 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.

KW - currency model

KW - game contingent claims

KW - Game options

KW - Israeli options

KW - optimal exercise

KW - proportional transaction costs

KW - superhedging

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U2 - 10.1142/S0219024916500436

DO - 10.1142/S0219024916500436

M3 - Article

VL - 19

JO - International Journal of Theoretical and Applied Finance

JF - International Journal of Theoretical and Applied Finance

SN - 0219-0249

IS - 7

M1 - 1650043

ER -