E. Ekström (Sweden)
Game options, Dynkin games, excessive functions
A game option is like an American option but with the added feature that not only the option holder but also the option writer can exercise the option at any time. We for mulate a method how to explicitly determine the value of a game option. Moreover, we provide a condition on the contract functions under which the value increasing in the diffusion coefficient. This paper announces the research of [1].
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