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Hedging of game options under model uncertainty in discrete time


 
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1. Title Title of document Hedging of game options under model uncertainty in discrete time
 
2. Creator Author's name, affiliation, country Yan Dolinsky; Hebrew University; Israel
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Dynkin games, game options, super--replication, volatility uncertainty, weak convergence
 
3. Subject Subject classification {Primary: 91G10 Secondary: 60F05, 60G40
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2014-03-16
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2714
 
10. Identifier Digital Object Identifier 10.1214/ECP.v19-2714
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 19
 
12. Language English=en en
 
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