Perfect and partial hedging for swing game options in discrete time

Yan Dolinsky, Yonathan Iron, Yuri Kifer*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Scopus citations


The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without restrictions, we derive a formula for valuation of multiple exercise options via classical hedging arguments. Introducing the notion of the shortfall risk for such options we study also partial hedging which leads to minimization of this risk.

Original languageAmerican English
Pages (from-to)447-474
Number of pages28
JournalMathematical Finance
Issue number3
StatePublished - Jul 2011


  • Game options
  • Hedging
  • Multiple exercise derivatives
  • Shortfall risk


Dive into the research topics of 'Perfect and partial hedging for swing game options in discrete time'. Together they form a unique fingerprint.

Cite this