Affiliation:
1. Institute of Mathematics, The Hebrew University, Jerusalem 91904, Israel
Abstract
We start by briefly surveying a research on optimal stopping games since their introduction by Dynkin more than 40 years ago. Recent renewed interest to Dynkin’s games is due, in particular, to the study of Israeli (game) options introduced in 2000. We discuss the work on these options and related derivative securities for the last decade. Among various results on game options we consider error estimates for their discrete approximations, swing game options, game options in markets with transaction costs, and other questions.
Funder
Israel Science Foundation
Subject
Marketing,Organizational Behavior and Human Resource Management,Strategy and Management,Drug Discovery,Pharmaceutical Science,Pharmacology
Cited by
18 articles.
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