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  1. Mathematical Methods of Operations Research
  2. Mathematical Methods of Operations Research : Volume 63
  3. Mathematical Methods of Operations Research : Volume 63, Issue 2, May 2006
  4. Properties of game options
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Mathematical Methods of Operations Research : Volume 85
Mathematical Methods of Operations Research : Volume 84
Mathematical Methods of Operations Research : Volume 83
Mathematical Methods of Operations Research : Volume 82
Mathematical Methods of Operations Research : Volume 81
Mathematical Methods of Operations Research : Volume 80
Mathematical Methods of Operations Research : Volume 79
Mathematical Methods of Operations Research : Volume 78
Mathematical Methods of Operations Research : Volume 77
Mathematical Methods of Operations Research : Volume 76
Mathematical Methods of Operations Research : Volume 75
Mathematical Methods of Operations Research : Volume 74
Mathematical Methods of Operations Research : Volume 73
Mathematical Methods of Operations Research : Volume 72
Mathematical Methods of Operations Research : Volume 71
Mathematical Methods of Operations Research : Volume 70
Mathematical Methods of Operations Research : Volume 69
Mathematical Methods of Operations Research : Volume 68
Mathematical Methods of Operations Research : Volume 67
Mathematical Methods of Operations Research : Volume 66
Mathematical Methods of Operations Research : Volume 65
Mathematical Methods of Operations Research : Volume 64
Mathematical Methods of Operations Research : Volume 63
Mathematical Methods of Operations Research : Volume 63, Issue 3, July 2006
Mathematical Methods of Operations Research : Volume 63, Issue 2, May 2006
Penalty and Barrier Methods for Convex Semidefinite Programming
Properties of game options
Constructions of Nash Equilibria in Stochastic Games of Resource Extraction with Additive Transition Structure
Existence of nash equilibria for constrained stochastic games
Ruin problems for a discrete time risk model with random interest rate
Optimal purchasing policy in a two-component assembly system with different purchasing contracts for each component
Graph models for scheduling systems with machine saturation property
Performance analysis approximation in a queueing system of type M/G/1
An M/G/1 queue under hysteretic vacation policy with an early startup and un-reliable server
Maximum Likelihood Estimates and Confidence Intervals of an M/M/R Queue with Heterogeneous Servers
Book Review: K.W. Morton, D.F. Mayers: Cambridge University Press, 2005. ISBN: 0-521-60793-0. 278 pp, paperback, US 43.00 : K.W. Morton and D.F. Mayers: Numerical solution of partial differential equations : Mathematical Methods of Operations Research , Volume 63 , Issue 2
Mathematical Methods of Operations Research : Volume 63, Issue 1, February 2006
Mathematical Methods of Operations Research : Volume 62
Mathematical Methods of Operations Research : Volume 61
Mathematical Methods of Operations Research : Volume 60
Mathematical Methods of Operations Research : Volume 59
Mathematical Methods of Operations Research : Volume 58
Mathematical Methods of Operations Research : Volume 57
Mathematical Methods of Operations Research : Volume 56
Mathematical Methods of Operations Research : Volume 55
Mathematical Methods of Operations Research : Volume 54
Mathematical Methods of Operations Research : Volume 53
Mathematical Methods of Operations Research : Volume 52
Mathematical Methods of Operations Research : Volume 51
Mathematical Methods of Operations Research : Volume 50
Mathematical Methods of Operations Research : Volume 49
Mathematical Methods of Operations Research : Volume 48
Mathematical Methods of Operations Research : Volume 47
Mathematical Methods of Operations Research : Volume 46
Mathematical Methods of Operations Research : Volume 45

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Properties of game options

Content Provider Springer Nature Link
Author Ekström, Erik
Copyright Year 2005
Abstract A game option is an American option with the added feature that not only the option holder, but also the option writer, can exercise the option at any time. We characterize the value of a perpetual game option in terms of excessive functions, and we use the connection between excessive functions and concave functions to explicitly determine the value in some examples. Moreover, a condition on the two contract functions is provided under which the value is convex in the underlying diffusion value in the continuation region and increasing in the diffusion coefficient.
Starting Page 221
Ending Page 238
Page Count 18
File Format PDF
ISSN 14322994
Journal Mathematical Methods of Operations Research
Volume Number 63
Issue Number 2
e-ISSN 14325217
Language English
Publisher Springer-Verlag
Publisher Date 2005-11-10
Publisher Place Berlin, Heidelberg
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Optimal stopping games Game options Excessive functions Volatility Price orderings Business/Management Science Operations Research/Decision Theory Calculus of Variations and Optimal Control; Optimization
Content Type Text
Resource Type Article
Subject Management Science and Operations Research Mathematics Software
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