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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 83, 2011 - Issue 4-6: Optimal stopping with Applications
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Original Articles

Hedging of swing game options in continuous time

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Pages 365-404 | Received 09 Nov 2009, Accepted 21 Jul 2010, Published online: 08 Jun 2011

References

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  • Y. Dolinsky, Y. Iron, and Y. Kifer, Perfect and partial hedging for swing game options in discrete time, Math. Finance 20 (2010)
  • Friedman , A. 1982 . Variational Principles and Free-Boundary Problems , New York : Wiley .
  • Ikeda , N. and Watanabe , S. 1989 . Differential Equations and Diffusion Processes , 2nd ed. , Tokyo : North-Holland/Kodansha .
  • Karatzas , I. and Shreve , S. 1991 . Brownian Motion and Stochastic Calculus , 2nd ed. , New York : Springer-Verlag .
  • Kifer , Y. 2000 . Game options . Finance Stoch. , 4 : 443 – 463 .
  • Lepeltier , J.P. and Maingueneau , J.P. 1984 . Le jeu de Dynkin en theorie generale sans l'hypothese de Mokobodski . Stochastics , 13 : 24 – 44 .
  • Øksendal , B. 2003 . Stochastic Differential Equations , 6th ed. , Berlin : Springer-Verlag .

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