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Defaultable game options in a hazard process model

Journal of Applied Mathematics and Stochastic Analysis (2009) 2009
DOI: 10.1155/2009/695798
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Abstract

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.

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APA

Bielecki, T. R., Crépey, S., Jeanblanc, M., & Rutkowski, M. (2009). Defaultable game options in a hazard process model. Journal of Applied Mathematics and Stochastic Analysis, 2009. https://doi.org/10.1155/2009/695798

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