Hedging of game options in discrete markets with transaction costs

TL;DR

This paper develops algorithms to compute prices and superhedging strategies for game options in discrete markets with transaction costs, addressing both seller and buyer perspectives.

Contribution

It introduces a novel computational framework for pricing and hedging game options considering transaction costs in discrete market models.

Findings

Algorithms successfully compute prices and strategies.

Applicable to both seller and buyer scenarios.

Enhances understanding of game options in realistic market settings.

Abstract

We construct algorithms for computation of prices and superhedging strategies for game options in general discrete markets both from the seller and the buyer points of view.