TY - UNPB
T1 - Arbitrage-free pricing of game options in nonlinear markets
AU - Kim, Edward
AU - Rutkowski, Marek
AU - Nie, Tianyang
PY - 2018/7/14
Y1 - 2018/7/14
N2 - 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.
AB - 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.
U2 - 10.48550/arXiv.1807.05448
DO - 10.48550/arXiv.1807.05448
M3 - Preprint
BT - Arbitrage-free pricing of game options in nonlinear markets
ER -