Perfect and partial hedging for swing game options in discrete time
Pricing of Securities
2013-02-21 v1 Risk Management
Abstract
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 restrictions we derive a formula for valuation of multiple exercise options via classical hedging arguments. Introducing the notion of the shortfall risk for such options we study also partial hedging which leads to minimization of this risk.
Keywords
Cite
@article{arxiv.0907.2541,
title = {Perfect and partial hedging for swing game options in discrete time},
author = {Y. Dolinsky and Y. Iron and Y. Kifer},
journal= {arXiv preprint arXiv:0907.2541},
year = {2013}
}