Advanced search
Publication Cover
Stochastics
An International Journal of Probability and Stochastic Processes
Volume 79, 2007 - Issue 1-2: Optimal Stopping and Applications Part I
Submit an article Journal homepage
87
Views
18
CrossRef citations to date
0
Altmetric
Original Articles

Hedging with risk for game options in discrete time

Yan Dolinsky Institute of Mathematics, Hebrew University, Jerusalem, 91904, IsraelView further author information
&
Yuri Kifer Institute of Mathematics, Hebrew University, Jerusalem, 91904, IsraelCorrespondence[email protected]
Pages 169-195 | Received 13 Oct 2006, Accepted 01 Nov 2006, Published online: 05 Nov 2008

Citations (18)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (1)

Yuri Kifer. (2013) Hedging of game options in discrete markets with transaction costs. Stochastics 85:4, pages 667-681.
Read now

Articles from other publishers (17)

Zdeněk Zmeškal, Dana Dluhošová, Petr Gurný & Haochen Guo. (2022) Soft Bond Game Options Valuation in Discrete Time Using a Fuzzy-Stochastic Approach. International Journal of Fuzzy Systems 24:5, pages 2215-2228.
Crossref
Peidong Guo, Jizhou Zhang & Qian Wang. (2020) Path-dependent game options with Asian features. Chaos, Solitons & Fractals 141, pages 110412.
Crossref
Tsvetelin S. Zaevski. (2020) Discounted perpetual game put options. Chaos, Solitons & Fractals 137, pages 109858.
Crossref
Yan Dolinsky. (2020) On shortfall risk minimization for game options. Modern Stochastics: Theory and Applications, pages 379-394.
Crossref
NIV NAYMAN. (2018) SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS. International Journal of Theoretical and Applied Finance 21:05, pages 1850034.
Crossref
Roxana Dumitrescu, Marie-Claire Quenez & Agnès Sulem. (2017) Game Options in an Imperfect Market with Default. SIAM Journal on Financial Mathematics 8:1, pages 532-559.
Crossref
Ivan Guo & Marek Rutkowski. (2016) Arbitrage-free pricing of multi-person game claims in discrete time. Finance and Stochastics 21:1, pages 111-155.
Crossref
Yan Dolinsky & Yuri Kifer. (2016) Risk minimization for game options in markets imposing minimal transaction costs. Advances in Applied Probability 48:3, pages 926-946.
Crossref
Yuri Kifer. (2013) Dynkin's Games and Israeli Options. ISRN Probability and Statistics 2013, pages 1-17.
Crossref
Peter Lindberg. (2012) Optimal partial hedging of an American option: shifting the focus to the expiration date. Mathematical Methods of Operations Research 75:3, pages 221-243.
Crossref
Yan Dolinsky, Yonathan Iron & Yuri Kifer. (2011) PERFECT AND PARTIAL HEDGING FOR SWING GAME OPTIONS IN DISCRETE TIME. Mathematical Finance 21:3, pages 447-474.
Crossref
Sabrina Mulinacci. (2011) The efficient hedging problem for American options. Finance and Stochastics 15:2, pages 365-397.
Crossref
Yan Dolinsky & Yuri Kifer. 2011. Advances in Dynamic Games. Advances in Dynamic Games 447 467 .
Yan Dolinsky. (2016) Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model. Journal of Applied Probability 47:4, pages 997-1012.
Crossref
Yan Dolinsky. (2016) Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model. Journal of Applied Probability 47:04, pages 997-1012.
Crossref
Erick Trevino Aguilar. (2009) Robust efficient hedging for American options: The existence of worst case probability measures. Statistics & Decisions 27:1, pages 1-23.
Crossref
Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc & Marek Rutkowski. (2009) Defaultable Game Options in a Hazard Process Model. Journal of Applied Mathematics and Stochastic Analysis 2009, pages 1-33.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.