College of Science, National University of Defense Technology, ChangSha 410073, China
Copyright © 2009 Lei Wang and Zhiming Jin. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Game option is an American-type option with added feature that the writer can exercise the option at any time before maturity. In this paper, we consider some type of game options and obtain explicit expressions through solving Stefan(free boundary) problems under condition that the stock price is driven by some jump-diffusion process. Finally, we give a simple application about convertible bonds.