Perfect and partial hedging for swing game options in discrete time

Economy – Quantitative Finance – Pricing of Securities

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Scientific paper

The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without restrictions we derive a formula for valuation of multiple exercise options via classical hedging arguments. Introducing the notion of the shortfall risk for such options we study also partial hedging which leads to minimization of this risk.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Perfect and partial hedging for swing game options in discrete time does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Perfect and partial hedging for swing game options in discrete time, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Perfect and partial hedging for swing game options in discrete time will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-364259

All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.