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Perfect and partial hedging for swing game options in discrete time

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.
Year of publication:
2009-07
Authors: Dolinsky, Y. ; Iron, Y. ; Kifer, Y.
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Published in Mathematical Finance 21 (2011), 447-474
Source:
Persistent link: https://www.econbiz.de/10005084195
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