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dc.contributor.authorPossamaï, Dylan
dc.contributor.authorPiozin, Lambert
dc.contributor.authorMatoussi, Anis
dc.date.accessioned2014-03-06T08:25:56Z
dc.date.available2014-03-06T08:25:56Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12819
dc.language.isoenen
dc.subjectVolatility uncertaintyen
dc.subjectIsraeli optionsen
dc.subjectDynkin gamesen
dc.subjectReflected backward stochastic differential equationen
dc.subjectSecond order backward stochastic differential equationen
dc.subject.ddc519en
dc.titleSecond-order BSDEs with general reflection and game options under uncertaintyen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLaboratoire Manceau de Mathématiques, Université Le mans;France
dc.contributor.editoruniversityotherLUNAM Université, Université du Maine;France
dc.description.abstractenThe aim of this paper is twofold. First, we extend the results of Matoussi et al. (2012) concerning the existence and uniqueness of second-order reflected 2BSDEs to the case of two obstacles. Under some regularity assumptions on one of the barriers, similar to the ones in Crépey and Matoussi (2008), and when the two barriers are completely separated, we provide a complete wellposedness theory for doubly reflected second-order BSDEs. We also show that these objects are related to non-standard optimal stopping games, thus generalizing the connection between DRBSDEs and Dynkin games first proved by Cvitanić and Karatzas (1996). More precisely, we show under a technical assumption that the second order DRBSDEs provide solutions of what we call uncertain Dynkin games and that they also allow us to obtain super and subhedging prices for American game options (also called Israeli options) in financial markets with volatility uncertainty.1en
dc.relation.isversionofjnlnameStochastic Processes and their Applications
dc.relation.isversionofjnlvol124
dc.relation.isversionofjnlissue7
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages2281-2321
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.spa.2014.02.011en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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