Defaultable Game Options in a Hazard Process Model-Reference-Cited by-同舟云学术

Defaultable Game Options in a Hazard Process Model

Published:2009-07-21 Issue: Volume:2009 Page:1-33
ISSN:1048-9533
Container-title:Journal of Applied Mathematics and Stochastic Analysis
language:en
Short-container-title:Journal of Applied Mathematics and Stochastic Analysis

Author:

Bielecki Tomasz R.¹,Crépey Stéphane²,Jeanblanc Monique²³,Rutkowski Marek⁴⁵

Affiliation:

1. Department of Applied Mathematics, Illinois Institute of Technology, Chicago, IL 60616, USA

2. Département de Mathématiques, Université d'Évry Val d'Essonne, 91025 Évry Cedex, France

3. Europlace Institute of Finance, Palais Brongniart-28 Place de la Bourse, 75002 Paris, France

4. School of Mathematics and Statistics, University of New South Wales, Sydney, NSW 2052, Australia

5. Faculty of Mathematics and Information Science, Warsaw University of Technology, 00-661 Warszawa, Poland

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.

Funder

National Science Foundation

Publisher

Hindawi Limited

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Link

http://downloads.hindawi.com/archive/2009/695798.pdf

Reference37 articles.

1. Computing hitting time densities for CIR and OU diffusions: applications to mean-reverting models

2. Valuation of Convertible Bonds With Credit Risk

3. Arbitrage pricing of defaultable game options with applications to convertible bonds