Game options in an imperfect market with default

Abstract : We study pricing and superhedging strategies for game options in an imperfect market with default. We extend the results obtained by Yuri Kifer in the case of a perfect market model to the case of an imperfect market with default, when the imperfections are taken into account via the nonlinearity of the wealth dynamics. We introduce the seller's price of the game option as the infimum of the initial wealths which allow the seller to be superhedged. We prove that this price coincides with the value function of an associated generalized Dynkin game expressed with a nonlinear expectation induced by a nonlinear BSDE with default jump. We moreover study the existence of superhedging strategies. We then address the case of ambiguity on the model, - for example ambiguity on the default probability - and characterize the robust seller's price of a game option as the value function of a {\em mixed generalized} Dynkin game. We study the existence of a cancellation time and a trading strategy which allow the seller to be super-hedged, whatever the model is.
Type de document :
Pré-publication, Document de travail
2015
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https://hal.inria.fr/hal-01243603
Contributeur : Martine Verneuille <>
Soumis le : mardi 15 décembre 2015 - 11:07:33
Dernière modification le : lundi 3 juillet 2017 - 13:46:20

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Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem. Game options in an imperfect market with default. 2015. <hal-01243603>

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