Hedging of game options under model uncertainty in discrete time (Q743096)

The author derives a superreplication price for discrete-time game options under model uncertainty. As usual, the financial market consists here of a (non-risky) savings account and a risky asset (stock) whose price evolution is described by a sequence \(S_0,S_1,\dots,S_N\) but no a priori market probability is chosen and it is assumed only that \(0\leq a\leq |\ln S_{i+1} -\ln S_i|\leq b\). The author shows that the super-replication price is given by the supremum of Dynkin games values over a class of martingale measures with respect to the filtration generated by the coordinate process in \(\mathbb R^N\).