Hedging of Game Options under Model Uncertainty in Discrete Time

摘要

We introduce a setup of model uncertainty in discrete time. In this setup wederive dual expressions for the super--replication prices of game options withupper semicontinuous payoffs. We show that the super--replication price isequal to the supremum over a special (non dominated) set of martingalemeasures, of the corresponding Dynkin games values. This type of results isalso new for American options.