Properties of game options

被引：38

作者：

Ekstrom, Erik

机构：

[1] School of Mathematics, University of Manchester, Manchester M601QD, Sackville Street

来源：

MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 2006年 / 63卷 / 02期

关键词：

optimal stopping games; game options; excessive functions; volatility; price orderings;

D O I：

10.1007/s00186-005-0027-3

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 [运筹学与控制论]; 12 [管理学]; 1201 [管理科学与工程]; 1202 [工商管理学]; 120202 [企业管理];

摘要：

A game option is an American option with the added feature that not only the option holder, but also the option writer, can exercise the option at any time. We characterize the value of a perpetual game option in terms of excessive functions, and we use the connection between excessive functions and concave functions to explicitly determine the value in some examples. Moreover, a condition on the two contract functions is provided under which the value is convex in the underlying diffusion value in the continuation region and increasing in the diffusion coefficient.

引用

页码：221 / 238

页数：18

共 13 条

[1]

On the properties of r-excessive mappings for a class of diffusions [J].