Hedging of game options under model uncertainty in discrete time

DOI10.1214/ECP.V19-2714MaRDI QIDQ743096zbMATH OpenFDO

Authors Yan Dolinsky

Publication date 22 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.3574

zbMATH Keywords

model uncertaintysuper-replicationgame optionsDynkin games

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with discrete parameter (60G42) Credit risk (91G40) Stochastic games, stochastic differential games (91A15) Financial applications of other theories (91G80)

Abstract: We introduce a setup of model uncertainty in discrete time. In this setup we derive dual expressions for the super--replication prices of game options with upper semicontinuous payoffs. We show that the super--replication price is equal to the supremum over a special (non dominated) set of martingale measures, of the corresponding Dynkin games values. This type of results is also new for American options.

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Cited in

(19)

• Perfect and partial hedging for swing game options in discrete time
• Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity
• Approximations and asymptotics of upper hedging prices in multinomial models
• Super-hedging American options with semi-static trading strategies under model uncertainty
• Defaultable game options in a hazard process model
• Hedging with risk for game options in discrete time
• Quantile hedging in a semi-static market with model uncertainty
• Super-replication with nonlinear transaction costs and volatility uncertainty
• Game-Theoretic Derivation of Discrete Distributions and Discrete Pricing Formulas
• Hedging of game options in discrete markets with transaction costs
• Arbitrage and duality in nondominated discrete-time models
• Numerical scheme for Dynkin games under model uncertainty
• Hedging of game options with the presence of transaction costs
• Applications of weak convergence for hedging of game options
• Binomial approximations of shortfall risk for game options
• Game options in an imperfect market with default
• Robust superhedging with jumps and diffusion
• Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty
• On hedging American options under model uncertainty

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