Hedging of game options under model uncertainty in discrete time

Yan Dolinsky*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

11 Scopus citations


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 languageAmerican English
JournalElectronic Communications in Probability
StatePublished - 16 Mar 2014


  • Dynkin games
  • Game options
  • Super-replication
  • Volatility uncertainty
  • Weak convergence


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