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dc.contributor.authorDumitrescu, Roxana
dc.contributor.authorQuenez, Marie-Claire
dc.contributor.authorSulem, Agnès
dc.date.accessioned2018-01-10T13:09:04Z
dc.date.available2018-01-10T13:09:04Z
dc.date.issued2017
dc.identifier.issn1945-497X
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17264
dc.language.isoenen
dc.subjectGame optionsen
dc.subjectimperfect marketsen
dc.subjectgeneralized Dynkin gamesen
dc.subjectnonlinearexpectationsen
dc.subjectbackward stochastic differential equationsen
dc.subjectnonlinear pricingen
dc.subjectdoubly reflected backward stochastic differential equationsen
dc.subject.ddc519en
dc.titleGame options in an imperfect market with defaulten
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameSIAM Journal on Financial Mathematics
dc.relation.isversionofjnlvol8en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2017
dc.relation.isversionofjnlpages532–559en
dc.relation.isversionofdoi10.1137/16M1109102en
dc.relation.isversionofjnlpublisherSociety for Industrial and Applied Mathematicsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2018-01-10T13:02:04Z
hal.person.labIds60
hal.person.labIds102
hal.person.labIds34587


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