Perfect and partial hedging for swing game options in discrete time

Yan Dolinsky; Yonathan Iron; Yuri Kifer

doi:10.1111/j.1467-9965.2010.00440.x

Perfect and partial hedging for swing game options in discrete time

Yan Dolinsky, Yonathan Iron, Yuri Kifer

The Hebrew University of Jerusalem

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	447-474
Number of pages	28
Journal	Mathematical Finance
Volume	21
Issue number	3
DOIs	https://doi.org/10.1111/j.1467-9965.2010.00440.x
State	Published - Jul 2011

Keywords

Game options
Hedging
Multiple exercise derivatives
Shortfall risk

All Science Journal Classification (ASJC) codes

Accounting
Finance
Social Sciences (miscellaneous)
Economics and Econometrics
Applied Mathematics

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10.1111/j.1467-9965.2010.00440.x

Cite this

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abstract = "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.",

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KW - Shortfall risk

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Perfect and partial hedging for swing game options in discrete time

Abstract

Keywords

All Science Journal Classification (ASJC) codes

Access to Document

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