Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 73-81 |
| Number of pages | 9 |
| Journal | Finance and Stochastics |
| Volume | 8 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2004 |