Defaultable game options in a hazard process model
type: Item
instance of: scholarly article
title: Defaultable game options in a hazard process model
zbMATH Open document ID: 1191.91060
DOI: 10.1155/2009/695798
author: Tomasz R. Bielecki
author: Stéphane Crépey
author: Marek Rutkowski
author: Monique Jeanblanc
published in: Journal of Applied Mathematics and Stochastic Analysis
publication date: 2009-11-23T00:00:00Z
full work available at URL: https://eudml.org/doc/225981
review text: The authors study the problem of pricing and hedging of defaultable game options in a hazard process model of credit risk. A connection between arbitrage free prices of such options and a suitable notion of hedging is introduced. In fact the authors show that the arbitrage free prices coincide with the minimal super-hedging prices with sigma martingale cost under a risk neutral measure.
reviewed by: Christian-Oliver Ewald
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 5637170
zbMATH Keywords: credit risk
zbMATH Keywords: hazard models
zbMATH Keywords: game options
zbMATH Keywords: stochastic analysis
Wikidata QID: Q58648165
MaRDI profile type: Publication
OpenAlex ID: W1992016665
cites work: Arbitrage pricing of defaultable game options with applications to convertible bonds
cites work: Convertible Bonds in a Defaultable Diffusion Model
cites work: Q4781779
cites work: Game options
cites work: DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK
cites work: Q4802403
cites work: ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION
cites work: Q3866874
cites work: Q4274285
cites work: The fundamental theorem of asset pricing for unbounded stochastic processes
cites work: Q4778955
cites work: Q4435813
cites work: Q5580119
cites work: Optimal Stopping in Games with Continuous Time
cites work: Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
cites work: On the pricing of American options
cites work: Q4357646
cites work: Reflected forward-backward SDEs and obstacle problems with boundary conditions
cites work: Mixed Zero-Sum Stochastic Differential Game and American Game Options
cites work: Option hedging for semimartingales
cites work: Semi-martingales et grossissement d'une filtration
cites work: Q3957683
cites work: HAZARD PROCESSES AND MARTINGALE HAZARD PROCESSES
cites work: A definition and some characteristic properties of pseudo-stopping times
cites work: Credit risk: Modelling, valuation and hedging
cites work: Backward stochastic differential equations with reflection and Dynkin games
cites work: BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
cites work: About the Pricing Equations in Finance
cites work: Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
cites work: Hedging with risk for game options in discrete time
cites work: An essay on the general theory of stochastic processes
Recommended article: Game Options in an Imperfect Market with Default
Recommended article: Hedging of game options under model uncertainty in discrete time
Recommended article: Hedging with risk for game options in discrete time
Recommended article: REPRESENTING DEFAULTS IN THE FRAMEWORK OF POSSIBILITY THEORY∗
Recommended article: Q4546334
Recommended article: A Stochastic Differential Game with Safe and Risky Choices
Recommended article: A dynamic process to the core for multi-choice games
Recommended article: Binomial approximations of shortfall risk for game options
Recommended article: Hazard rate, stochastic choice and consideration sets
description: scientific article; zbMATH DE number 5637170