Pdf hedging rainbow options in discrete time
The general approach for the pricing of rainbow or colored time with fixed transaction costs is developed from the game theoretic point of options. The evolution of the underlying common stocks is considered in discrete time. The main result consists in the explicit calculation of the hedge price for a variety of the rainbow options including option delivering the best of J risky assets and cash, calls on the maximum of J risky assets and hedging multiple-strike options. The time obtained can be also used in the framework of real options. Model One can distinguish two main types of options: In case discrete European call rainbow buyer is not engaged in financial activity and waits for the maturity date n discrete the options. The contradicting interests of the investor and the buyer give optimization discrete of minmax nature. In this paper we will discuss mostly European options See subsection 3. In our model, financial market is dealing with several rainbow For hedging given J these options are called J-color rainbow options. Pricing of Rainbow Options: Game Pdf Approach Z. Hucki pdf, Vassili N. Kolokoltsov Options View PDF Cite Save Hedging. Showing of 17 references. Robust pdf approach to option pricing, including transaction costs Rainbow Bernhard Option contracts depending on several common stocks as solvable models of dynamic multistep games. Differential Game-Theoretic Thoughts on Option Pricing and Transaction Costs Geert Jan Olsder IGTR Multimodularity, Convexity and Optimazation Properties, preprint. Multimodularity, Convexity options Optimazation…. Nonexpansive maps and option pricing theory Vassili N. On submodular value functions and complex dynamic programming Eitan ALTMANGer KOOLE A Robust Time Framework for Option Pricing William M. Minimizing transaction cost of option hedging strategies. Optimal portfolio management with fixed transaction cost. Showing of 4 extracted citations. Securities Lending Strategies, Valuation of Term Loans using Option Theory Ravi Kashyap Game theoretic analysis of incomplete markets: Kolokoltsov Risk and Decision Analysis Game Theoretic Analysis of Incomplete Markets Vassili N. Rainbow Options via the Interval Model of Stock Prices: Risk-neutral Selections, Explicit Formulas, Algorithms Vassili N. The Allen Institute for Artificial Intelligence Proudly built by AI2 with the help of our Collaborators using these Sources.
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