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Hedging of game options in discrete markets with transaction costs
game options discrete markets transaction costs
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2012/9/14
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete time markets with transaction costs both from seller’s (upper arbitrage free price) a...
Perfect and partial hedging for swing game options in discrete time
game options discrete time
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2010/11/1
The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without re...