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ArticleDiscounted perpetual game call options

Tsvetelin Zaevski2019

Article2019

Discounted perpetual game call options

Tsvetelin Zaevski

21 citations·0/0 files stored·Chaos Solitons & Fractals

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Stochastic processes and financial applications Capital Investment and Risk Analysis Game Theory and Applications

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References

1996Handbook of Brownian Motion — Facts and Formulae 2000Game options 1977Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems 2004Some calculations for Israeli options 2006On the value of optimal stopping games 2007CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS 2005Properties of game options 2013Dynkin's Games and Israeli Options

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2021A new approach for pricing discounted American options

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2011PERPETUAL CANCELLABLE AMERICAN CALL OPTIONarticle · 6 shared references 2013Dynkin's Games and Israeli Optionsarticle · 5 shared references 2008A Class of Solvable Stopping Gamesarticle · 5 shared references 2006Error estimates for binomial approximations of game optionsarticle · 5 shared references 2009The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Processarticle · 4 shared references 2018Nash equilibria of threshold type for two-player nonzero-sum games of stoppingarticle · 4 shared references

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Year2019

Typearticle

Published2019-11-05

VenueChaos Solitons & Fractals

ISSN-L0960-0779

Languageen

Citations21

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.chaos.2019.109503

openalex_workW2988981975

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