Pricing and hedging game options in currency models with proportional transaction costs
Mathematical Finance
2015-08-17 v2 Optimization and Control
Computational Finance
Abstract
The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise strategies are presented, together with numerical examples, as well as probabilistic dual representations for the bid and ask price of a game option.
Keywords
Cite
@article{arxiv.1504.07920,
title = {Pricing and hedging game options in currency models with proportional transaction costs},
author = {Alet Roux},
journal= {arXiv preprint arXiv:1504.07920},
year = {2015}
}