Year: 2009
Advances in Applied Mathematics and Mechanics, Vol. 1 (2009), Iss. 4 : pp. 529–545
Abstract
Game option is an American-type option with added feature that the writer can exercise the option at any time before maturity. In this paper, we consider the problem of hedging Game Contingent Claims (GCC) in two cases. For the case that portfolio is unconstrained, we provide a single arbitrage-free price $P_0$. Whereas for the constrained case, the price is replaced by an interval $[h_{low},h_{up}]$ of arbitrage-free prices. And for the portfolio with some closed constraints, we give the expressions of the upper-hedging price and lower-hedging price. Finally, for a special type of game option, we provide explicit expressions of the price and optimal portfolio for the writer and holder.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/aamm.09-m08h8
Advances in Applied Mathematics and Mechanics, Vol. 1 (2009), Iss. 4 : pp. 529–545
Published online: 2009-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 17
Keywords: Game option contingent claims hedging optimal stopping free boundary.