Hedging of game options under model uncertainty in discrete time

Yan Dolinsky (Hebrew University)

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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Pages: 1-11

Publication Date: March 16, 2014

DOI: 10.1214/ECP.v19-2714

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