Valuation of game options in jump diffusion model and with applications to convertible bonds

摘要：

Game option is an American-type option with an added feature that the writer can exercise the option at any time before maturity.In this paper,we consider a type of Game option and obtain explicit expressions through solving Stefan (free boundary) problem under the condition that the stock price is driven by some jumpdiffusion process.Finally,we give a simple example about convertible bonds.

关键词： Game option Free boundary problem Possion jump Convertible bond

作者: Lei Wang Zhiming Jin

作者单位: Department of system Engineering and Mathematics,NUDT,Hunan 410073

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 288-295

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）