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 | |
| State | Published - 16 Mar 2014 |
Keywords
- Dynkin games
- Game options
- Super-replication
- Volatility uncertainty
- Weak convergence