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PRICING GAME OPTIONS IN FINANCIAL MARKETS WITH DEFAULT: A DOUBLY REFLECTED BSDEs APPROACH

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  • BADR ELMANSOURI

    (Laboratory of Analysis, Mathematics, and Applications (LAMA ), Department of Mathematics, Faculty of Sciences Agadir, Ibn Zohr University, Hay Dakhla, BP8106, Agadir 80000, Morocco)

  • MOHAMED EL OTMANI

    (Laboratory of Analysis, Mathematics, and Applications (LAMA ), Department of Mathematics, Faculty of Sciences Agadir, Ibn Zohr University, Hay Dakhla, BP8106, Agadir 80000, Morocco)

Abstract

In this paper, we study the connection between a class of doubly reflected backward stochastic differential equations with two completely separated barriers under a stochastic Lipschitz coefficient in a defaultable setting and the pricing problem for game options in a financial market model with a default time.

Suggested Citation

  • Badr Elmansouri & Mohamed El Otmani, 2025. "PRICING GAME OPTIONS IN FINANCIAL MARKETS WITH DEFAULT: A DOUBLY REFLECTED BSDEs APPROACH," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 28(03n04), pages 1-31, June.
    • Handle: RePEc:wsi:ijtafx:v:28:y:2025:i:03n04:n:s0219024925500116
    DOI: 10.1142/S0219024925500116
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