PERFECT AND PARTIAL HEDGING FOR SWING GAME OPTIONS IN DISCRETE TIME-Reference-Cited by-同舟云学术

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PERFECT AND PARTIAL HEDGING FOR SWING GAME OPTIONS IN DISCRETE TIME

Published:2010-10-19 Issue:3 Volume:21 Page:447-474
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:

Author:

Dolinsky Yan,Iron Yonathan,Kifer Yuri

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2010.00440.x/fullpdf

Reference10 articles.

1. Barbieri , A. M. B. Garman 1996 Understanding the Valuation of Swing Contracts

2. Optimal Multiple Stopping and Valuation of Swing Options;Carmona;Math. Finance,2008

3. Hedging with Risk for Game Options in Discrete Time;Dolinsky;Stochastics,2007

4. Valuation of Commodity-Based Swing Options;Jaillet;Manage. Sci.,2004

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Soft Bond Game Options Valuation in Discrete Time Using a Fuzzy-Stochastic Approach;International Journal of Fuzzy Systems;2022-04-18

2. Game Options in an Imperfect Market with Default;SIAM Journal on Financial Mathematics;2017-01

3. Arbitrage-free pricing of multi-person game claims in discrete time;Finance and Stochastics;2016-11-18

4. Dynkin's Games and Israeli Options;ISRN Probability and Statistics;2013-03-11

5. Stochastic Differential Games Involving Impulse Controls and Double-Obstacle Quasi-variational Inequalities;SIAM Journal on Control and Optimization;2013-01

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