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Discounted perpetual game call options
9 references·1 citing·29 second hop
Discounted perpetual game call options (2019)Discounted perpetual game call optionsDynkin's Games and Israeli Options (2013)Dynkin's Games and Israeli Op…GAME CALL OPTIONS REVISITED (2012)GAME CALL OPTIONS REVISITEDCALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS (2007)CALLABLE PUTS AS COMPOSITE EX…On the value of optimal stopping games (2006)On the value of optimal stopp…Properties of game options (2005)Properties of game optionsSome calculations for Israeli options (2004)Some calculations for Israeli…Game options (2000)Game optionsHandbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems (1977)Nonzero-Sum Stochastic Differ…A new approach for pricing discounted American options (2021)A new approach for pricing di…Pricing derivatives of American and game type in incomplete markets (2004)The Value of Zero-Sum Stopping Games in Continuous Time (2005)Brownian Motion and Stochastic Calculus (2007)Optimal Stopping Games for Markov Processes (2008)Stochastic differential equations and applications (2008)Brownian motion and stochastic calculus (1991)Methods of Mathematical Finance (1998)A Class of Solvable Stopping Games (2008)A Dynkin game with asymmetric information (2012)Equilibrium in two-player non-zero-sum Dynkin games in continuous time (2012)Option pricing: A simplified approach (1979)Backward stochastic differential equations with reflection and Dynkin games (1996)Hedging of game options under model uncertainty in discrete time (2014)Second-order BSDEs with general reflection and game options under uncertainty (2014)Game Options in an Imperfect Market with Default (2017)Brownian Motion and Stochastic Calculus (1988)Optimal Stopping and the American Put (1991)Methods of Mathematical Finance (1998)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Intermediary Asset Pricing (2013)Nonzero-Sum Stochastic Games (1999)Stochastic Differential Equations and Applications (2010)Local time–space stochastic calculus for Lévy processes (2005)The Shepp–Shiryaev Stochastic Game Driven by a Spectrally Negative Lévy Process (2009)Nash equilibria of threshold type for two-player nonzero-sum games of stopping (2018)Mixed Zero-Sum Stochastic Differential Game and American Game Options (2006)The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options (2010)
this work references cited by second hop

References

  • 1996Handbook of Brownian Motion — Facts and Formulae1,420 cited
  • 2000Game options204 cited
  • 1977Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems108 cited
  • 2004Some calculations for Israeli options99 cited
  • 2006On the value of optimal stopping games59 cited
  • 2007CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS57 cited
  • 2005Properties of game options50 cited
  • 2013Dynkin's Games and Israeli Options45 cited
  • 2012GAME CALL OPTIONS REVISITED25 cited

Cited by

  • 2021A new approach for pricing discounted American options19 cited

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