Perfect and partial hedging for swing game options in discrete time - Quantitative Finance > Pricing of SecuritiesReportar como inadecuado




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Abstract: The paper introduces and studies hedging for game Israeli style extensionof swing options considered as multiple exercise derivatives. Assuming that theunderlying security can be traded without restrictions we derive a formula forvaluation of multiple exercise options via classical hedging arguments.Introducing the notion of the shortfall risk for such options we study alsopartial hedging which leads to minimization of this risk.



Autor: Y.Dolinsky, Y.Iron, Y.Kifer

Fuente: https://arxiv.org/







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