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Dynkin’s games and Israeli options. (English) Zbl 1271.91022

Summary: We start by briefly surveying the research on optimal stopping games since their introduction by Dynkin more than 40 years ago. Recent renewed interest to Dynkin’s games is due, in particular, to the study of Israeli (game) options introduced by Y. Ohtsubo [Math. Jap. 51, No. 1, 75–81 (2000; Zbl 0971.60047)]. We discuss the work on these options and related derivative securities for the last decade. Among various results on game options we consider error estimates for their discrete approximations, swing game options, game options in markets with transaction costs, and other questions.

MSC:

91A15 Stochastic games, stochastic differential games
60G40 Stopping times; optimal stopping problems; gambling theory
91G20 Derivative securities (option pricing, hedging, etc.)
60H30 Applications of stochastic analysis (to PDEs, etc.)

Citations:

Zbl 0971.60047
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Full Text: DOI arXiv

References:

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