Defaultable Game Options in a Hazard Process Model

Tomasz R. Bielecki · Stéphane Crépey · Monique Jeanblanc · Marek Rutkowski

27 citations0/0 files storedInternational Journal of Stochastic Analysis

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Credit Risk and Financial Regulations Risk and Portfolio Optimization

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.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 27 citations exist upstream.

References

2005Stochastic Integration and Differential Equations 2003Limit Theorems for Stochastic Processes 1997Backward Stochastic Differential Equations in Finance 2004Credit Risk: Modeling, Valuation and Hedging 1998The fundamental theorem of asset pricing for unbounded stochastic processes 2019Semimartingale Theory and Stochastic Calculus 1988On the pricing of American options 1991Option hedging for semimartingales

Cited by

2011Convertible Bonds in a Defaultable Diffusion Model

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.