Valuation of Game Options in Jump-Diffusion Model and with Applications to Convertible Bonds | Zendy

Lei Wang | Zendy; Jin Zhi-ming | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

Valuation of Game Options in Jump-Diffusion Model and with Applications to Convertible Bonds

Author(s) -

Lei Wang,

Jin Zhi-ming

Publication year - 2009

Publication title -

journal of applied mathematics and decision sciences

Language(s) - English

Resource type - Journals

eISSN - 1532-7612

pISSN - 1173-9126

DOI - 10.1155/2009/945923

Subject(s) - jump diffusion , convertible bond , convertible , valuation (finance) , stock price , jump , mathematical economics , call option , put option , stock options , bond , mathematics , economics , financial economics , econometrics , finance , thermodynamics , physics , paleontology , quantum mechanics , series (stratigraphy) , biology

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 Stefan(free boundary) problems under condition that the stock price is driven by some jump-diffusion process. Finally, we give a simple application about convertible bonds.

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research