Defaultable Game Options in a Hazard Process Model

Tomasz R. Bielecki, Stéphane Crépey, Monique Jeanblanc and Marek Rutkowski

International Journal of Stochastic Analysis, 2009, vol. 2009, 1-33

Abstract:

The valuation and hedging of defaultable game options is studied in a hazard process model of credit risk. A convenient pricing formula with respect to a reference filteration is derived. A connection of arbitrage prices with a suitable notion of hedging is obtained. The main result shows that the arbitrage prices are the minimal superhedging prices with sigma martingale cost under a risk neutral measure.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:695798

DOI: 10.1155/2009/695798

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