Some calculations for Israeli options

Research output: Contribution to journalArticle

41 Citations (Scopus)

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 languageEnglish
Pages (from-to)73-81
Number of pages9
JournalFinance and Stochastics
Volume8
Issue number1
DOIs
Publication statusPublished - 2004

Fingerprint Dive into the research topics of 'Some calculations for Israeli options'. Together they form a unique fingerprint.

Cite this