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Hedging of game options under model uncertainty in discrete time

   
@article{ECP2714,
	author = {Yan Dolinsky},
	title = {Hedging of game options under model uncertainty in discrete time},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {19},
	year = {2014},
	keywords = {Dynkin games, game options, super--replication, volatility uncertainty, weak convergence},
	abstract = {We introduce a setup of model uncertaintyin discrete time. In this setup wederive 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.},
	pages = {no. 19, 1-11},
	issn = {1083-589X},
	doi = {10.1214/ECP.v19-2714},    
        url = {http://ecp.ejpecp.org/article/view/2714}}