Defaultable game options in a hazard process model

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

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11 Citations (Scopus)


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.

Original languageEnglish
Article number695798
JournalJournal of Applied Mathematics and Stochastic Analysis
Publication statusPublished - 2009
Externally publishedYes

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