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Article Dans Une Revue Stochastic Processes and their Applications Année : 2014

Second-order BSDEs with general reflection and game options under uncertainty

Résumé

The aim of this paper is twofold. First, we extend the results of Matoussi et al. (2013) concerning the existence and uniqueness of second-order reflected 2BSDEs to the case of two obstacles. Under some regularity assumptions on one of the barriers, similar to the ones in Crépey and Matoussi (2008), and when the two barriers are completely separated, we provide a complete wellposedness theory for doubly reflected second-order BSDEs. We also show that these objects are related to non-standard optimal stopping games, thus generalizing the connection between DRBSDEs and Dynkin games first proved by Cvitanić and Karatzas (1996). More precisely, we show under a technical assumption that the second order DRBSDEs provide solutions of what we call uncertain Dynkin games and that they also allow us to obtain super and subhedging prices for American game options (also called Israeli options) in financial markets with volatility uncertainty.

Dates et versions

hal-01067269 , version 1 (23-09-2014)

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Anis Matoussi, Lambert Piozin, Dylan Possamaï. Second-order BSDEs with general reflection and game options under uncertainty. Stochastic Processes and their Applications, 2014, 124 (7), pp.2281-2321. ⟨10.1016/j.spa.2014.02.011⟩. ⟨hal-01067269⟩
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