Defaultable game options in a hazard process model (Q1039923): Difference between revisions
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| Property / author: Monique Jeanblanc-Picqué / rank | |||
Revision as of 22:53, 22 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Defaultable game options in a hazard process model |
scientific article |
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Defaultable game options in a hazard process model (English)
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23 November 2009
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The authors study the problem of pricing and hedging of defaultable game options in a hazard process model of credit risk. A connection between arbitrage free prices of such options and a suitable notion of hedging is introduced. In fact the authors show that the arbitrage free prices coincide with the minimal super-hedging prices with sigma martingale cost under a risk neutral measure.
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credit risk
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hazard models
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game options
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stochastic analysis
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