{"paper":{"title":"Game options in an imperfect market with default","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR"],"primary_cat":"q-fin.MF","authors_text":"Agn\\`Es Sulem, Marie-Claire Quenez, Roxana Dumitrescu","submitted_at":"2015-11-29T16:54:43Z","abstract_excerpt":"We study pricing and superhedging strategies for game options in an imperfect market with default. We extend the results obtained by Kifer in \\cite{Kifer} in the case of a perfect market model to the case of an imperfect market with default, when the imperfections are taken into account via the nonlinearity of the wealth dynamics. We introduce the {\\em seller's price} of the game option as the infimum of the initial wealths which allow the seller to be superhedged. We {prove} that this price coincides with the value function of an associated {\\em generalized} Dynkin game, recently introduced i"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1511.09041","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}