Defaultable game options in a hazard process model
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.
scientific article; zbMATH DE number 5637170
scientific article