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Game Russian Options for Double Exponential Jump Diffusion Processes
Meijo University, Gifu, Japan
Aoyama Gakuin University, Sagamihara, Japan
- 1 Meijo University, Gifu, Japan
- 2 Aoyama Gakuin University, Sagamihara, Japan
Journal of Mathematical Finance·Volume 04 (2013)·Pages 47–54·Published 20 December 2013·DOI10.4236/jmf.2014.41005
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Abstract
In this paper , we deal with the valuation of Game Russian option with jumps, which is a contract that the seller and the buyer have both the rights to cancel and to exercise it at any time, respectively. This model can be formulated as a coupled optimal stopping problem. First, we discuss the pricing model with jumps when the stock pays dividends continuously. Secondly, we derive the value function of Game Russian options and investigate properties of optimal boundaries of the buyer. Finally, some numerical results are presented to demonstrate analytical properties of the value function.
KeywordsStochastic ProcessGame Russian OptionDouble Exponential DistributionOptimal StoppingOptimal Boundaries
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