Defaultable game options in a hazard process model

DOI10.1155/2009/695798zbMath1191.91060OpenAlexW1992016665WikidataQ58648165 ScholiaQ58648165MaRDI QIDQ1039923

Marek Rutkowski, Stéphane Crépey, Tomasz R. Bielecki, Monique Jeanblanc-Picqué

Publication date: 23 November 2009

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/225981

zbMATH Keywords

credit riskhazard modelsstochastic analysisgame options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items

Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis, Game Options in an Imperfect Market with Default, Dynkin's games and Israeli options, American options in an imperfect complete market with default, DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK, A NONZERO‐SUM GAME APPROACH TO CONVERTIBLE BONDS: TAX BENEFIT, BANKRUPTCY COST, AND EARLY/LATE CALLS, HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES, A Dynkin game with asymmetric information, Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison, BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA, The pricing of perpetual convertible bond with credit risk, On the finite horizon optimal switching problem with random lag, Defaultable game options in a hazard process model

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