Hedging of game options under model uncertainty in discrete time
نویسنده
چکیده
We introduce a setup of model uncertainty in discrete time. In this setup we derive dual expressions for the super–replication prices of game options with upper semicontinuous payoffs. We show that the super–replication price is equal to the supremum over a special (non dominated) set of martingale measures, of the corresponding Dynkin games values. This type of results is also new for American options.
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تاریخ انتشار 2014