Hedging of Game Options under Model Uncertainty in Discrete Time

Abstract

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.

References in corpus (2)

• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Superreplication under Model Uncertainty in Discrete Time