Defaultable Game Options in a Hazard Process Model 外文参考文献.docVIP

HindawiPublishingCorporation JournalofAppliedMathematicsandStochasticAnalysis Volume2009,ArticleID695798,33pages doi:10.1155/2009/695798 ResearchArticle Defaultable GameOptionsin aHazardProcessModel Tomasz R. Bielecki, Ste′phane Cre′pey, 1 2 Monique Jeanblanc,2,3 andMarekRutkowski4,5 1Department ofAppliedMathematics, IllinoisInstituteofTechnology,Chicago,IL60616,USA 2D′epartement deMath′ematiques, Universit′ed’E′vryVald’Essonne, 91025E′vryCedex,France 3EuroplaceInstituteofFinance,PalaisBrongniart-28 PlacedelaBourse,75002Paris,France 4SchoolofMathematics andStatistics,University ofNewSouthWales,Sydney,NSW2052,Australia 5FacultyofMathematics andInformation Science,WarsawUniversity ofTechnology, 00-661Warszawa,Poland Correspondence shouldbeaddressedtoTomaszR.Bielecki,bielecki@ Received22October2008;Accepted 4April2009 Recommended bySalah-Eldin Mohammed 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 ?lteration is derived. A connectionofarbitragepriceswithasuitablenotionofhedgingisobtained.Themainresultshows thatthearbitrage pricesaretheminimal superhedging priceswithsigmamartingale costundera riskneutralmeasure. Copyright q2009TomaszR.Bieleckietal. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction inanymedium,providedtheoriginalworkisproperlycited. 1.Introduction Thegoalofthisworkistoanalyzevaluationandhedgingofdefaultablecontractswithgame optionfeatureswithinahazardprocessmodelofcreditrisk.Ourmotivationforconsidering Americanorgameclausestogetherwithdefaultablefeaturesofanoptionisnotthatmuch aquestforgenerality,butratherthefactthatthecombinationofearlyexercisefeaturesand defaultabilityisanintrinsicfeatureofsomeactivelytradedassets.Itsu?cestomentionhere theimportantclassofconvertiblebonds,whichwerestudiedby,amon