Dividends in the Theory of Derivative Securities Pricing

2003 ◽  
Author(s):  
Lars Tyge Tyge Nielsen
Keyword(s):  
Derivative Securities ◽  
Securities Pricing

scholarly journals Dynkin's Games and Israeli Options

2013 ◽  
Vol 2013 ◽  
pp. 1-17 ◽  
Author(s):  
Yuri Kifer
Keyword(s):  
Transaction Costs ◽  
Error Estimates ◽  
Optimal Stopping ◽  
Derivative Securities ◽  
Discrete Approximations ◽  
Game Options ◽  
Related Derivative ◽  
Stopping Games

We start by briefly surveying a research on optimal stopping games since their introduction by Dynkin more than 40 years ago. Recent renewed interest to Dynkin’s games is due, in particular, to the study of Israeli (game) options introduced in 2000. We discuss the work on these options and related derivative securities for the last decade. Among various results on game options we consider error estimates for their discrete approximations, swing game options, game options in markets with transaction costs, and other questions.

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