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arXiv · 1304.3574

Hedging of Game Options under Model Uncertainty in Discrete Time

Yan Dolinsky
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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.

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Yan Dolinsky. 2013-04-12. Hedging of Game Options under Model Uncertainty in Discrete Time. https://arxiv.org/abs/1304.3574

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