PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS

ALET ROUX

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PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS

机译：具有比例交易成本的货币模型中的定价和对冲游戏选项

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摘要

The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise strategies are presented, together with numerical examples, as well as probabilistic dual representations for the bid and ask price of a game option.

机译：在具有成比例交易成本的多币种模型中考虑了定价，对冲，最佳执行和最佳博弈或以色列期权的取消。给出了用于最佳套期，取消和行使策略的有效构造，以及数值示例，以及博弈期权的买入价和要价的概率对偶表示。

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《International journal of theoretical and applied finance》 |2016年第7期|共25页
作者
ALET ROUX;
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正文语种 eng
中图分类财政、金融;
关键词
Game options; game contingent claims; Israeli options; proportional transaction costs; currency model; superhedging; optimal exercise;

机译：博弈期权;博弈或有债权;以色列期权;比例交易成本;货币模型;对冲;最优行使;

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专利

1. PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS [J] . ALET ROUX International journal of theoretical and applied finance . 2016,第7期

机译：具有比例交易成本的货币模型中的定价和对冲游戏选项
2. Options under Proportional Transaction Costs: An Algorithmic Approach to Pricing and Hedging [J] . Alet Roux, Krzysztof Tokarz, Tomasz Zastawniak Acta Applicandae Mathematicae . 2008,第2期

机译：比例交易成本下的期权：定价和对冲的算法方法
3. Options under proportional transaction costs: An algorithmic approach to pricing and hedging [J] . Roux A, Tokarz K, Zastawniak T Acta Applicandae Mathematicae: An International Journal on Applying Mathematics and Mathematical Applications . 2008,第2期

机译：比例交易成本下的选择：定价和对冲的算法方法
4. Foreign Currency Option Pricing with Both Fixed and Proportional Transaction Costs [C] . Wenli Huang, Shenghong Li CSO 2010;International joint conference on computational sciences and optimization . 2010

机译：具有固定和比例交易成本的外币期权定价
5. Pricing and hedging bond options in the presence of transaction costs. [D] . Kim, Jaemyoung. 2007

机译：在存在交易成本的情况下对债券期权进行定价和对冲。
6. Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion [O] . Jiao-Jiao Sun, Shengwu Zhou, Yan Zhang, 2014

机译：分数布朗运动下具有固定比例交易成本的回顾期权定价
7. Pricing and hedging game options in currency models with proportional transaction costs [O] . Roux Alet 2016

机译：具有比例交易成本的货币模型中的定价和对冲游戏选项

PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS

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