Hedging of Game Options under Model Uncertainty in Discrete Time

Yan Dolinsky

Papers from arXiv.org

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.

Date: 2013-04
New Economics Papers: this item is included in nep-gth
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Citations: View citations in EconPapers (2)

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