Defaultable game options in a hazard process model (Q1039923)
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scientific article; zbMATH DE number 5637170
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| English | Defaultable game options in a hazard process model |
scientific article; zbMATH DE number 5637170 |
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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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0.8341909
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0.81714773
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0.81378967
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0.80724335
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0.79927367
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0.79749703
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0.7964908
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0.79604435
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