HUCKI, Z.; KOLOKOLTSOV, V. N. - In: International Game Theory Review (IGTR) 09 (2007) 02, pp. 215-242
The general approach for the pricing of rainbow (or colored) options with fixed transaction costs is developed from the game theoretic point of view. The evolution of the underlying common stocks is considered in discrete time. The main result consists in the explicit calculation of the hedge...