英文标题：
《Game options with gradual exercise and cancellation under proportional
transaction costs》
---
作者：
Alet Roux and Tomasz Zastawniak
---
最新提交年份：
2016
---
英文摘要：
Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has the right to cancel the option gradually at a mixed (or randomised) stopping time, rather than instantly at an ordinary stopping time. Allowing gradual exercise and cancellation leads to increased flexibility in hedging, and hence tighter bounds on the option price as compared to the case of instantaneous exercise and cancellation. Algorithmic constructions for the bid and ask prices, and the associated superhedging strategies and optimal mixed stopping times for both exercise and cancellation are developed and illustrated. Probabilistic dual representations for bid and ask prices are also established.
---
中文摘要：
研究了具有比例交易成本的多资产市场模型中的博弈（以色列）期权，即允许买方行使期权，卖方有权在混合（或随机）停止时间逐步取消期权，而不是在普通停止时间立即取消期权。允许逐步行权和取消会增加对冲的灵活性，因此与即时行权和取消的情况相比，期权价格的界限更为严格。提出并举例说明了买卖价格的算法构造、相关的超边缘策略以及行权和取消的最优混合停车时间。还建立了买卖价格的概率对偶表示。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--

---
PDF下载：
-->