Some calculations for Israeli options

Andreas E Kyprianou

doi:10.1007/s00780-003-0104-5

Some calculations for Israeli options

Andreas E Kyprianou

Department of Mathematical Sciences

Research output: Contribution to journal › Article › peer-review

59 Citations (SciVal)

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	https://doi.org/10.1007/s00780-003-0104-5
Publication status	Published - 2004

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Some calculations for Israeli options

Abstract

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