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2014 Hedging of game options under model uncertainty in discrete time
Yan Dolinsky
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Electron. Commun. Probab. 19: 1-11 (2014). DOI: 10.1214/ECP.v19-2714

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.

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Yan Dolinsky. "Hedging of game options under model uncertainty in discrete time." Electron. Commun. Probab. 19 1 - 11, 2014. https://doi.org/10.1214/ECP.v19-2714

Information

Accepted: 16 March 2014; Published: 2014
First available in Project Euclid: 7 June 2016

zbMATH: 1304.91216
MathSciNet: MR3183572
Digital Object Identifier: 10.1214/ECP.v19-2714

Subjects:
Primary: 91G10
Secondary: 60F05 , 60G40

Keywords: Dynkin games , Game options , super–replication , volatility uncertainty , weak convergence

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