Economy – Quantitative Finance – Pricing of Securities
Scientific paper
2009-07-15
Economy
Quantitative Finance
Pricing of Securities
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.
Dolinsky Yan
Iron Y.
Kifer Yuri
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