Related papers: Perfect and partial hedging for swing game options…

For zero-sum two-player continuous-time games with integral payoff and incomplete information on one side, one shows that the optimal strategy of the informed player can be computed through an auxiliary optimization problem over some…

Using a fast numerical technique, we investigate a large database of investor suboptimal non-exercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend…

Model risk measures consequences of choosing a model in a class of possible alternatives. We find analytical and simulated bounds for payoff functions on classes of plausible alternatives of a given discrete model. We measure the impact of…

We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two stage process that first determines admissible model…

We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these…

We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option (see Kifer (2000)) to a contract in which an arbitrary number of parties is involved and each of them is allowed to…

This paper mainly discusses the American option's hedging strategies via binomialmodel and the basic idea of pricing and hedging American option. Although the essential scheme of hedging is almost the same as European option, small…

Pursuit-Evasion Games (in discrete time) are stochastic games with nonnegative daily payoffs, with the final payoff being the cumulative sum of payoffs during the game. We show that such games admit a value even in the presence of…

There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise to arbitrage opportunities. We study…

In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying asset price but also on the path average of underlying…

We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this approach and illustrate it with two specific examples. The…

In this paper we define the canonical mixed extension of a decision form game. We motivate the necessity to introduce this concept and we show several examples about the new concept. In particular we focus our study upon the mixed…

This article presents a generic hybrid numerical method to price a wide range of options on one or several assets, as well as assets with stochastic drift or volatility. In particular for equity and interest rate hybrid with local…

We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock price process satisfies the conditional full support…

We present a method of hedging Conditional Value at Risk of a position in stock using put options. The result leads to a linear programming problem that can be solved to optimise risk hedging.

When facing a heavily-favored opponent, an underdog must be willing to assume greater-than-average risk. In statistical language, one would say that an underdog must be willing to adopt a strategy whose outcome has a larger-than-average…

A quantum board game is a multi-round protocol between a single quantum player against the quantum board. Molina and Watrous discovered quantum hedging. They gave an example for perfect quantum hedging: a board game with winning probability…

With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…

This paper studies partially observable two-person zero-sum semi-Markov games under a probability criterion, in which the system state may not be completely observed. It focuses on the probability that the accumulated rewards of player 1…

In the present paper we investigate the problem of the existence of a value for differential games without Isaacs condition. For this we introduce a suitable concept of mixed strategies along a partition of the time interval, which are…