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