Game Options in an Imperfect Market with Default

DOI10.1137/16M1109102zbMath1381.93103arXiv1511.09041MaRDI QIDQ4607043

Marie-Claire Quenez, Roxana Dumitrescu, Agnès Sulem

Publication date: 12 March 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.09041

zbMATH Keywords

backward stochastic differential equationsnonlinear pricingdoubly reflected backward stochastic differential equationsnonlinear expectationsgame optionsimperfect marketssuperhedging pricegeneralized Dynkin games

Mathematics Subject Classification ID

2-person games (91A05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

Reflected and doubly reflected BSDEs driven by RCLL martingales ⋮ Path-dependent game options with Asian features ⋮ The Dynkin game with regime switching and applications to pricing game options ⋮ Nonlinear BSDEs with two optional Doob's class barriers satisfying weak Mokobodzki's condition and extended Dynkin games ⋮ Perpetual cancellable American options with convertible features ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ American options in an imperfect complete market with default ⋮ European Options in a Nonlinear Incomplete Market Model with Default ⋮ Doubly reflected BSDEs and \(\mathcal{E} ^{{f}}\)-Dynkin games: beyond the right-continuous case ⋮ Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty ⋮ American options in nonlinear markets ⋮ Arbitrage-free pricing of derivatives in nonlinear market models ⋮ Optimal stopping with \(f\)-expectations: the irregular case ⋮ Doubly reflected backward stochastic differential equations in the predictable setting

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Calcul stochastique et problèmes de martingales
• Backward stochastic differential equations with reflection and Dynkin games
• Generalized Dynkin games and doubly reflected BSDEs with jumps
• Hedging of game options under model uncertainty in discrete time
• A model for a large investor trading at market indifference prices. II: Continuous-time case.
• Mathematical methods for financial markets.
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• Defaultable game options in a hazard process model
• Hedging contingent claims with constrained portfolios
• Price functionals with bid-ask spreads: An axiomatic approach
• A dynamic maximum principle for the optimization of recursive utilities under constraints.
• Pricing derivatives of American and game type in incomplete markets
• A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations
• PERFECT AND PARTIAL HEDGING FOR SWING GAME OPTIONS IN DISCRETE TIME
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• Hedging with risk for game options in discrete time
• Measure Theory
• Game options

This page was built for publication: Game Options in an Imperfect Market with Default