Hedging of game options in discrete markets with transaction costs
Computational Finance
2012-06-21 v1 Probability
Abstract
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete markets both from the seller and the buyer points of view.
Cite
@article{arxiv.1206.4506,
title = {Hedging of game options in discrete markets with transaction costs},
author = {Yuri Kifer},
journal= {arXiv preprint arXiv:1206.4506},
year = {2012}
}