2012/12/03 by Anis Matoussi, Matoussi, Anis, Lambert Piozin +3
Economics, Econometrics and Finance · #Capital Investment and Risk Analysis #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1212.0476
openalex publication_date 2012/12/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The aim of this paper is twofold. First, we extend the results of [33]\nconcerning the existence and uniqueness of second-order reflected 2BSDEs to the\ncase of two obstacles. Under some regularity assumptions on one of the\nbarriers, similar to the ones in [10], and when the two barriers are completely\nseparated, we provide a complete wellposedness theory for doubly reflected\nsecond-order BSDEs. We also show that these objects are related to non-standard\noptimal stopping games, thus generalizing the connection between DRBSDEs and\nDynkin games first proved by Cvitanic and Karatzas [11]. More precisely, we\nshow under a technical assumption that the second order DRBSDEs provide\nsolutions of what we call uncertain Dynkin games and that they also allow us to\nobtain super and subhedging prices for American game options (also called\nIsraeli options) in financial markets with volatility uncertainty\n