Hedging of game options under model uncertainty in discrete time

Yan Dolinsky

doi:10.1214/ECP.v19-2714

Hedging of game options under model uncertainty in discrete time

Yan Dolinsky^*

^*Corresponding author for this work

Department of Statistics

Research output: Contribution to journal › Article › peer-review

11 Scopus citations

Abstract

We introduce a setup of model uncertainty in discrete time. In this setup we derive 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.

Original language	English
Journal	Electronic Communications in Probability
Volume	19
DOIs	https://doi.org/10.1214/ECP.v19-2714
State	Published - 16 Mar 2014

Keywords

Dynkin games
Game options
Super-replication
Volatility uncertainty
Weak convergence

Access to Document

10.1214/ECP.v19-2714

Cite this

@article{c76a687e1f754a57b9681f5cb31f6329,

title = "Hedging of game options under model uncertainty in discrete time",

abstract = "We introduce a setup of model uncertainty in discrete time. In this setup we derive 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.",

keywords = "Dynkin games, Game options, Super-replication, Volatility uncertainty, Weak convergence",

author = "Yan Dolinsky",

year = "2014",

month = mar,

day = "16",

doi = "10.1214/ECP.v19-2714",

language = "אנגלית",

volume = "19",

journal = "Electronic Communications in Probability",

issn = "1083-589X",

publisher = "Institute of Mathematical Statistics",

}

TY - JOUR

T1 - Hedging of game options under model uncertainty in discrete time

AU - Dolinsky, Yan

PY - 2014/3/16

Y1 - 2014/3/16

N2 - We introduce a setup of model uncertainty in discrete time. In this setup we derive 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.

AB - We introduce a setup of model uncertainty in discrete time. In this setup we derive 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.

KW - Dynkin games

KW - Game options

KW - Super-replication

KW - Volatility uncertainty

KW - Weak convergence

UR - http://www.scopus.com/inward/record.url?scp=84896446995&partnerID=8YFLogxK

U2 - 10.1214/ECP.v19-2714

DO - 10.1214/ECP.v19-2714

M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???

AN - SCOPUS:84896446995

SN - 1083-589X

VL - 19

JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

ER -

Hedging of game options under model uncertainty in discrete time

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this