Arbitrage-Free Pricing of Game Options in Nonlinear Markets
Mathematical Finance
2018-07-17 v1
Abstract
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.
Keywords
Cite
@article{arxiv.1807.05448,
title = {Arbitrage-Free Pricing of Game Options in Nonlinear Markets},
author = {Tianyang Nie and Edward Kim and Marek Rutkowski},
journal= {arXiv preprint arXiv:1807.05448},
year = {2018}
}
Comments
arXiv admin note: text overlap with arXiv:1804.10753