Defaultable game options in a hazard process model (Q1039923): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1992016665 / rank | |||
Normal rank |
Revision as of 21:41, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Defaultable game options in a hazard process model |
scientific article |
Statements
Defaultable game options in a hazard process model (English)
0 references
23 November 2009
0 references
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.
0 references
credit risk
0 references
hazard models
0 references
game options
0 references
stochastic analysis
0 references