Defaultable Game Options in a Hazard Process Model
Joint Authors
Bielecki, Tomasz R.
Jeanblanc, Monique
Rutkowski, Marek
Crépey, Stéphane
Source
Journal of Applied Mathematics and Stochastic Analysis
Issue
Vol. 2009, Issue 2009 (31 Dec. 2009), pp.1-33, 33 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2009-07-21
Country of Publication
Egypt
No. of Pages
33
Main Subjects
Abstract EN
The valuation and hedging of defaultable game options is studied in a hazard process model of credit risk.
A convenient pricing formula with respect to a reference filteration is derived.
A connection of arbitrage prices with a suitable notion of hedging is obtained.
The main result shows that the arbitrage prices are the minimal superhedging prices with sigma martingale cost under a risk neutral measure.
American Psychological Association (APA)
Bielecki, Tomasz R.& Crépey, Stéphane& Jeanblanc, Monique& Rutkowski, Marek. 2009. Defaultable Game Options in a Hazard Process Model. Journal of Applied Mathematics and Stochastic Analysis،Vol. 2009, no. 2009, pp.1-33.
https://search.emarefa.net/detail/BIM-491298
Modern Language Association (MLA)
Bielecki, Tomasz R.…[et al.]. Defaultable Game Options in a Hazard Process Model. Journal of Applied Mathematics and Stochastic Analysis No. 2009 (2009), pp.1-33.
https://search.emarefa.net/detail/BIM-491298
American Medical Association (AMA)
Bielecki, Tomasz R.& Crépey, Stéphane& Jeanblanc, Monique& Rutkowski, Marek. Defaultable Game Options in a Hazard Process Model. Journal of Applied Mathematics and Stochastic Analysis. 2009. Vol. 2009, no. 2009, pp.1-33.
https://search.emarefa.net/detail/BIM-491298
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-491298
