Some calculations for Israeli options
Kyprianou, A. E., 2004. Some calculations for Israeli options. Finance and Stochastics, 8 (1), pp. 73-81.
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Recently Kifer (2000) introduced the concept of an Israeli (or Game) option. That is a general American-type option with the added possibility that the writer may terminate the contract early inducing a payment exceeding the holderrsquos claim had they exercised at that moment. Kifer shows that pricing and hedging of these options reduces to evaluating a saddle point problem associated with Dynkin games. In this short text we give two examples of perpetual Israeli options where the solutions are explicit.
|Creators||Kyprianou, A. E.|
|Departments||Faculty of Science > Mathematical Sciences|
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