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.