Hedging of game options under model uncertainty in discrete time

Yan Dolinsky

Research output: Contribution to journalArticleResearchpeer-review

9 Citations (Scopus)


We introduce a setup of model uncertainty in discrete time. In this setup we derive dual expressions for the super-replication prices of game options with upper semicontinuous payoffs. We show that the super-replication price is equal to the supremum over a special (non dominated) set of martingale measures, of the corresponding Dynkin games values. This type of results is also new for American options.

Original languageEnglish
Article number19
Number of pages12
JournalElectronic Communications in Probability
Publication statusPublished - 16 Mar 2014
Externally publishedYes


  • Dynkin games
  • Game options
  • Super-replication
  • Volatility uncertainty
  • Weak convergence

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