Valuation of Game Options in Jump-Diffusion Model and with Applications to Convertible BondsReport as inadecuate




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Journal of Applied Mathematics and Decision SciencesVolume 2009 2009, Article ID 945923, 17 pages

Research ArticleCollege of Science, National University of Defense Technology, ChangSha 410073, China

Received 17 November 2008; Accepted 6 March 2009

Academic Editor: Lean Yu

Copyright © 2009 Lei Wang and Zhiming Jin. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

Game option is an American-type option with added feature that the writer can exercise the option at any time before maturity. In this paper, we consider some type of game options and obtain explicit expressions through solving Stefanfree boundary problems under condition that the stock price is driven by some jump-diffusion process. Finally, we give a simple application about convertible bonds.





Author: Lei Wang and Zhiming Jin

Source: https://www.hindawi.com/



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