scholarly journals Hedging of game options with the presence of transaction costs

2013 ◽  
Vol 23 (6) ◽  
pp. 2212-2237 ◽  
Author(s):  
Yan Dolinsky
Keyword(s):  
Transaction Costs ◽  
Game Options

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.

scholarly journals PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS

2016 ◽  
Vol 19 (07) ◽  
pp. 1650043 ◽  
Author(s):  
ALET ROUX
Keyword(s):  
Transaction Costs ◽  
Proportional Transaction Costs ◽  
Numerical Examples ◽  
Dual Representations ◽  
Optimal Hedging ◽  
Game Options

The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise strategies are presented, together with numerical examples, as well as probabilistic dual representations for the bid and ask price of a game option.

scholarly journals Risk minimization for game options in markets imposing minimal transaction costs

2016 ◽  
Vol 48 (3) ◽  
pp. 926-946 ◽  
Author(s):  
Yan Dolinsky ◽  
Yuri Kifer
Keyword(s):  
Transaction Costs ◽  
Continuous Time ◽  
Risk Minimization ◽  
Proportional Transaction Costs ◽  
Shortfall Risk ◽  
Partial Hedging ◽  
Black Scholes ◽  
Fixed Transaction Cost ◽  
Game Options ◽  
Binomial Models

Abstract We study partial hedging for game options in markets with transaction costs bounded from below. More precisely, we assume that the investor's transaction costs for each trade are the maximum between proportional transaction costs and a fixed transaction cost. We prove that in the continuous-time Black‒Scholes (BS) model, there exists a trading strategy which minimizes the shortfall risk. Furthermore, we use binomial models in order to provide numerical schemes for the calculation of the shortfall risk and the corresponding optimal portfolio in the BS model.

From transaction costs to transaction value: Overcoming the frictional paradigm

2020 ◽  
pp. 51-81
Author(s):  
D. P. Frolov
Keyword(s):  
Transaction Costs ◽  
Transaction Cost ◽  
Path Dependence ◽  
Transaction Cost Economics ◽  
Cost Minimization ◽  
Low Cost ◽  
Coase Theorem ◽  
Transactional Analysis ◽  
Transaction Sector ◽  
Transaction Value

The transaction cost economics has accumulated a mass of dogmatic concepts and assertions that have acquired high stability under the influence of path dependence. These include the dogma about transaction costs as frictions, the dogma about the unproductiveness of transactions as a generator of losses, “Stigler—Coase” theorem and the logic of transaction cost minimization, and also the dogma about the priority of institutions providing low-cost transactions. The listed dogmas underlie the prevailing tradition of transactional analysis the frictional paradigm — which, in turn, is the foundation of neo-institutional theory. Therefore, the community of new institutionalists implicitly blocks attempts of a serious revision of this dogmatics. The purpose of the article is to substantiate a post-institutional (alternative to the dominant neo-institutional discourse) value-oriented perspective for the development of transactional studies based on rethinking and combining forgotten theoretical alternatives. Those are Commons’s theory of transactions, Wallis—North’s theory of transaction sector, theory of transaction benefits (T. Sandler, N. Komesar, T. Eggertsson) and Zajac—Olsen’s theory of transaction value. The article provides arguments and examples in favor of broader explanatory possibilities of value-oriented transactional analysis.

Non-Public Monetary Systems in information Economy

2013 ◽  
pp. 151-159
Author(s):  
O. Krasilnikov ◽  
E. Krasilnikova
Keyword(s):  
Transaction Costs ◽  
Information Economy ◽  
Internet Technologies ◽  
Monetary Systems ◽  
Public Money ◽  
Economic Institution

The article discusses the development of non-public monetary systems (NPMS), defined as a specific economic institution. It presents their comparison with public money systems depending on the size of transaction costs. The authors come to the conclusion that in conditions of the information economy on the basis of Internet-technologies NPMS receive a new impetus to their development and can make serious competition in regard to public monetary systems.

Transactions in science in comparative perspective

2018 ◽  
pp. 52-69
Author(s):  
A. N. Oleinik
Keyword(s):  
Transaction Costs ◽  
Academic Freedom ◽  
North American ◽  
Institutional Environment ◽  
Scientific Productivity ◽  
Institutional Environments ◽  
Academic Administrator ◽  
The North ◽  
American Case ◽  
Transactional Approach

The article develops a transactional approach to studying science. Two concepts play a particularly important role: the institutional environment of science and scientific transaction. As an example, the North-American and Russian institutional environments of science are compared. It is shown that structures of scientific transactions (between peers, between the scholar and the academic administrator, between the professor and the student), transaction costs and the scope of academic freedom differ in these two cases. Transaction costs are non-zero in both cases, however. At the same time, it is hypothesized that a greater scope of academic freedom in the North American case may be a factor contributing to a higher scientific productivity.

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