英文标题：
《Game options in an imperfect market with default》
---
作者：
Roxana Dumitrescu, Marie-Claire Quenez and Agn\\`es Sulem
---
最新提交年份：
2017
---
英文摘要：
We study pricing and superhedging strategies for game options in an imperfect market with default. We extend the results obtained by Kifer in \\cite{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 {\\em 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 {\\em generalized} Dynkin game, recently introduced in \\cite{DQS2}, 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.
---
中文摘要：
我们研究了不完全违约市场中博弈期权的定价和超边际策略。我们将Kifer在完美市场模型中得到的结果推广到了不完美市场违约的情况，通过财富动态的非线性考虑了不完美。我们引入博弈期权的{\\em seller\'s price}作为初始财富的下确界，允许卖方获得超优势。我们{证明}该价格与最近在{DQS2}中引入的关联{em广义}Dynkin对策的值函数一致，该对策用一个非线性带违约跳跃的BSDE诱导的非线性期望表示。此外，我们还研究了超边缘策略的存在性。然后，我们讨论了模型上的模糊情况，例如违约概率上的模糊性，并将博弈期权的鲁棒卖方价格刻画为{em混合广义}Dynkin博弈的价值函数。我们研究了一个取消时间和一个允许卖方进行超级套期保值的交易策略的存在性，无论模型是什么。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--

---
PDF下载：
-->