Bergische Universität Wuppertal Fachbereich Mathematik und Naturwissenschaften Angewandte Mathematik - Numerische Analysis

People Research Publications Teaching

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Numerical Pricing of Game (Israeli) Options

Masterarbeit Mathematik

Supervision

• Prof. Dr. Matthias Ehrhardt
• Prof. Dr. Michael Günther

Description

In this thesis we will ....

Keywords

Game Options, Israeli Options

References:

1. E.J. Baurdoux, A.E. Kyprianou, Further calculations for Israeli options, Stoch. Stoch. Rep. 76 (2004), 549-569.
2. T.R. Bielecki, S. Crépey, M. Jeanblanc, M. Rutkowski, Arbitrage pricing of defaultable game options with applications to convertible bonds, Quantitative Finance 8 (2008), 795-810.
3. T.R. Bielecki, M. Jeanblanc, M. Rutkowski, Defaultable game options in a hazard process model, Int. J. Stoch. Anal. 2009 (2009).
4. Y. Dolinsky, Y. Kifer, Binomial approximations of shortfall risk for game options, Ann. Appl. Probab. 18 (2008), 1737-1770.
5. Y. Dolinsky, Y. Kifer, Hedging with risk for game options in discrete time, Stochastics 79 (2007) 169-195.
6. E.B. Dynkin, Game variant of a problem of optimal stopping, Soviet Math. Dokl. 10 (1969), 270-274.
7. E. Ekström, Properties of game options, Math. Meth. Oper. Res. 63 (2006), 221-238.
8. J. Kallsen, C. Kühn, Pricing derivatives of American and game type in incomplete markets, Finance and Stochastics 8 (2004), 261-284.
9. J. Kallsen, C. Kühn, Convertible Bonds: Financial Derivatives of Game type, Chapter 13 in: A. Kyprianou, W. Schoutens, P. Wilmott eds., Exotic Option Pricing and Advanced Levy Models, Wiley, New York, 2006, pp. 277-292.
10. Y. Kifer, Game options, Finance Stoch. 4 (2000) 443-463.
11. Y. Kifer, Error estimates for binomial approximations of game options, Ann. Appl. Probab. 16 (2006), 984-1033.
12. Y. Kifer, Dynkin's Games and Israeli Options, Probability and Statistics 2013 (2013), Article ID 856458, (17 pages)
13. H. Kunita, S. Seko, Game call options and their exercise regions, Technical Report of the Nanzan Academic Society Mathematical Sciences and Information Engineering, NANZAN-TR-2004-6, 2004.
14. A. Kyprianou, C. Kühn, Israeli options as composite exotic options, Preprint, 2004.
15. A. Kyprianou, C. Kühn, K. van Schaik, Pricing Israeli options: a pathwise approach, Stoch. Int. J. Prob. Stoch. Proc. 79 (2007), 117-137.
16. A.E. Kyprianou, Some calculations for Israeli options, Finance Stoch. 8 (2004), 73-86.
17. L. Vaczlavik, Computational Methods for Game Options, Dissertation, University of Maryland, 2011.
18. L. Wang, Lei, Z. Jin, Valuation of Game Options in Jump-Diffusion Model and with Applications to Convertible Bonds, Advances in Decision Sciences 2009 (2009).