Arbitrage-Free Pricing of Game Options in Nonlinear Markets
The goal is to re-examine and extend the findings from the recent paper by Dumitrescu, Quenez and Sulem (2017) who studied game options within the nonlinear arbitrage-free pricing approach developed in El Karoui and Quenez (1997). We consider the setup introduced in Kim, Nie and Rutkowski (2018) where contracts of an American style were examined. We give a detailed study of unilateral pricing, hedging and exercising problems for the counterparties within a general nonlinear setup. We also present a BSDE approach, which is used to obtain more explicit results under suitable assumptions about solutions to doubly reflected BSDEs.
Code (0)
등록된 구현이 없습니다.
Methods 이 논문이 사용한 방법론
Similar Papers 제목 키워드 기반
Arbitrage-free pricing of American options in nonlinear markets
We re-examine and extend the findings from the recent paper by Dumitrescu, Quenez and Sulem (2018) who studied American and game options in a particular market model using the nonlinear arbitrage-free pricing approach de…
Put-Call Parities, absence of arbitrage opportunities and non-linear pricing rules
If prices of assets traded in a financial market are determined by non-linear pricing rules, different versions of the Call-Put Parity have been considered. We show that, under monotonicity, parities between call and put…
Pricing Interest Rate Derivatives under Volatility Uncertainty
In this paper, we study the pricing of contracts in fixed income markets under volatility uncertainty in the sense of Knightian uncertainty or model uncertainty. The starting point is an arbitrage-free bond market under …
Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models
The objective of this paper is to provide a comprehensive study no-arbitrage pricing of financial derivatives in the presence of funding costs, the counterparty credit risk and market frictions affecting the trading mech…
Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps
The mixed fractional Brownian motion ($mfBm$) has become quite popular in finance, since it allows one to model long-range dependence and self-similarity while remaining, for certain values of the Hurst parameter, arbitr…