Soft Bond Game Options Valuation in Discrete Time Using a Fuzzy-Stochastic Approach
Author:
Funder
Vysoká Škola Bánská - Technická Univerzita Ostrava
Publisher
Springer Science and Business Media LLC
Subject
Artificial Intelligence,Computational Theory and Mathematics,Theoretical Computer Science,Software
Link
https://link.springer.com/content/pdf/10.1007/s40815-022-01258-3.pdf
Reference56 articles.
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2. Ben-Ameur, H., Breton, M., Karoui, L., L’Ecuyer, P.: A dynamic programming approach for pricing options embedded in bonds. J. Econ. Dyn. Control 31, 2212–2233 (2007). https://doi.org/10.1016/j.jedc.2006.06.007
3. Dolinsky, Y.: Hedging of game options under model uncertainty in discrete time. Electron. Commun. Probab. (2014). https://doi.org/10.1214/ECP.v19-2714
4. Dolinsky, Y., Iron, Y., Kifer, Y.: Perfect and partial hedging for swing game options in discrete time. Math. Financ. 21, 447–474 (2011). https://doi.org/10.1111/j.1467-9965.2010.00440.x
5. Dolinsky, Y., Kifer, Y.: Hedging with risk for game options in discrete time. Stochastics 79, 169–195 (2007). https://doi.org/10.1080/17442500601097784
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