英文标题：
《Arbitrage-Free Pricing of Game Options in Nonlinear Markets》
---
作者：
Tianyang Nie and Edward Kim and Marek Rutkowski
---
最新提交年份：
2018
---
英文摘要：
The goal is to re-examine and extend the findings from the recent paper by Dumitrescu, Quenez and Sulem (2017) who studied game options within the nonlinear arbitrage-free pricing approach developed in El Karoui and Quenez (1997). We consider the setup introduced in Kim, Nie and Rutkowski (2018) where contracts of an American style were examined. We give a detailed study of unilateral pricing, hedging and exercising problems for the counterparties within a general nonlinear setup. We also present a BSDE approach, which is used to obtain more explicit results under suitable assumptions about solutions to doubly reflected BSDEs.
---
中文摘要：
目的是重新审查和扩展Dumitrescu、Quenez和Sulem（2017）最近的论文中的发现，他们在El Karoui和Quenez（1997）开发的非线性无套利定价方法中研究了博弈期权。我们考虑了Kim、Nie和Rutkowski（2018）中引入的设置，其中审查了美国风格的合同。我们详细研究了一般非线性系统中交易对手的单边定价、套期保值和行权问题。我们还提出了一种BSDE方法，该方法用于在对双反射BSDE解的适当假设下获得更明确的结果。
---
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
--

---
PDF下载：
-->