English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

We study the problem of super-replication for game options under proportionaltransaction costs. We consider a multidimensional continuous time model, inwhich the discounted stock price process satisfies the conditional full supportproperty. We show that the super-replication price is the cheapest cost of atrivial super-replication strategy. This result is an extension of previouspapers (see [3] and [7]) which considered only European options. In thesepapers the authors showed that with the presence of proportional transactioncosts the super--replication price of a European option is given in terms ofthe concave envelope of the payoff function. In the present work we prove thatfor game options the super-replication price is given by a game variant analogof the standard concave envelope term. The treatment of game options is morecomplicated and requires additional tools. We combine the theory of consistentprice systems together with the theory of extended weak convergence which wasdeveloped in [1]. The second theory is essential in dealing with hedging whichinvolves stopping times, like in the case of game options.

Hedging of Game Options With the Presence of Transaction Costs