Hedging of game options under model uncertainty in discrete time

Abstract

We introduce a setup of model uncertaintyin discrete time. In this setup wederive dual expressions for the super-replication prices of game options with upper semicontinuous payoffs. We show that the super-replication price is equal to the supremum over a special (non dominated) set of martingale measures, of the corresponding Dynkin games values. This type of results is also new for American options.