{"id":"https://openalex.org/W2185384209","doi":"https://doi.org/10.1137/16m1109102","title":"Game Options in an Imperfect Market with Default","display_name":"Game Options in an Imperfect Market with Default","publication_year":2017,"publication_date":"2017-01-01","ids":{"openalex":"https://openalex.org/W2185384209","doi":"https://doi.org/10.1137/16m1109102","mag":"2185384209"},"language":"en","primary_location":{"id":"doi:10.1137/16m1109102","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m1109102","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1511.09041","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5025785606","display_name":"Roxana Dumitrescu","orcid":"https://orcid.org/0000-0002-9637-6824"},"institutions":[{"id":"https://openalex.org/I183935753","display_name":"King's College London","ror":"https://ror.org/0220mzb33","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I183935753"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Roxana Dumitrescu","raw_affiliation_strings":["King's College London"],"affiliations":[{"raw_affiliation_string":"King's College London","institution_ids":["https://openalex.org/I183935753"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5109088142","display_name":"Marie-Claire Quenez","orcid":null},"institutions":[{"id":"https://openalex.org/I204730241","display_name":"Universit\u00e9 Paris Cit\u00e9","ror":"https://ror.org/05f82e368","country_code":"FR","type":"education","lineage":["https://openalex.org/I204730241"]},{"id":"https://openalex.org/I169173203","display_name":"D\u00e9l\u00e9gation Paris 7","ror":"https://ror.org/00bw5n526","country_code":"FR","type":"government","lineage":["https://openalex.org/I154526488","https://openalex.org/I169173203"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Marie-Claire Quenez","raw_affiliation_strings":["University of Paris VII - Denis Diderot University"],"affiliations":[{"raw_affiliation_string":"University of Paris VII - Denis Diderot University","institution_ids":["https://openalex.org/I169173203","https://openalex.org/I204730241"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5017245116","display_name":"Agn\u00e8s Sulem","orcid":"https://orcid.org/0009-0005-3340-1294"},"institutions":[{"id":"https://openalex.org/I1326498283","display_name":"Institut national de recherche en informatique et en automatique","ror":"https://ror.org/02kvxyf05","country_code":"FR","type":"funder","lineage":["https://openalex.org/I1326498283"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Agn\u00e8s Sulem","raw_affiliation_strings":["INRIA (FRENCH INSTITUTE FOR RESEARCH IN COMPUTER SCIENCE AND AUTOMATION)"],"affiliations":[{"raw_affiliation_string":"INRIA (FRENCH INSTITUTE FOR RESEARCH IN COMPUTER SCIENCE AND AUTOMATION)","institution_ids":["https://openalex.org/I1326498283"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5025785606"],"corresponding_institution_ids":["https://openalex.org/I183935753"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.00550352,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"8","issue":"1","first_page":"532","last_page":"559"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9927999973297119,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/imperfect","display_name":"Imperfect","score":0.6547832489013672},{"id":"https://openalex.org/keywords/ambiguity","display_name":"Ambiguity","score":0.6060440540313721},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.5796369910240173},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.4489901065826416},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4435041546821594},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.43784862756729126},{"id":"https://openalex.org/keywords/perfect-information","display_name":"Perfect information","score":0.43712976574897766},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.4299446940422058},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.4284267723560333},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.42283138632774353},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3101399540901184},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.22758150100708008}],"concepts":[{"id":"https://openalex.org/C2780310539","wikidata":"https://www.wikidata.org/wiki/Q12547192","display_name":"Imperfect","level":2,"score":0.6547832489013672},{"id":"https://openalex.org/C2780522230","wikidata":"https://www.wikidata.org/wiki/Q1140419","display_name":"Ambiguity","level":2,"score":0.6060440540313721},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.5796369910240173},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.4489901065826416},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4435041546821594},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.43784862756729126},{"id":"https://openalex.org/C123676819","wikidata":"https://www.wikidata.org/wiki/Q1074338","display_name":"Perfect information","level":2,"score":0.43712976574897766},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.4299446940422058},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.4284267723560333},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.42283138632774353},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3101399540901184},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.22758150100708008},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C41895202","wikidata":"https://www.wikidata.org/wiki/Q8162","display_name":"Linguistics","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1137/16m1109102","is_oa":false,"landing_page_url":"https://doi.org/10.1137/16m1109102","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1511.09041","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1511.09041","pdf_url":"https://arxiv.org/pdf/1511.09041","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"pmh:oai:kclpure.kcl.ac.uk:publications/982b771d-36e3-4faf-88c9-f4dfd880a15a","is_oa":true,"landing_page_url":"https://kclpure.kcl.ac.uk/portal/en/publications/982b771d-36e3-4faf-88c9-f4dfd880a15a","pdf_url":"https://kclpure.kcl.ac.uk/ws/files/73772470/Paper1.pdf","source":{"id":"https://openalex.org/S4306400216","display_name":"Research Portal (King's College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I183935753","host_organization_name":"King's College London","host_organization_lineage":["https://openalex.org/I183935753"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Dumitrescu, R-L, Quenez, M-C & Sulem, A 2017, 'Game Options in an Imperfect Market with Default', SIAM Journal on Financial Mathematics, vol. 8, no. 1, pp. 532\u2013559. https://doi.org/10.1137/16M1109102","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"pmh:oai:HAL:hal-01614758v1","is_oa":true,"landing_page_url":"https://inria.hal.science/hal-01614758","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Financial Mathematics, 2017, 8 (1), pp.532-559. ⟨10.1137/16M1109102⟩","raw_type":"Journal articles"},{"id":"pmh:oai:RePEc:arx:papers:1511.09041","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:basepub.dauphine.fr:123456789/17264","is_oa":false,"landing_page_url":"https://basepub.dauphine.fr/handle/123456789/17264","pdf_url":null,"source":{"id":"https://openalex.org/S4306401007","display_name":"Base Institutionnelle de Recherche de l'universit\u00e9 Paris-Dauphine (BIRD) (University Paris-Dauphine)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I102197404","host_organization_name":"Universit\u00e9 Paris-Sud","host_organization_lineage":["https://openalex.org/I102197404"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article accept\u00e9 pour publication ou publi\u00e9"},{"id":"doi:10.48550/arxiv.1511.09041","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1511.09041","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1511.09041","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1511.09041","pdf_url":"https://arxiv.org/pdf/1511.09041","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},"sustainable_development_goals":[{"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8","score":0.4300000071525574}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W33873526","https://openalex.org/W1883071969","https://openalex.org/W1963661842","https://openalex.org/W1978646054","https://openalex.org/W1992016665","https://openalex.org/W2002128298","https://openalex.org/W2022420776","https://openalex.org/W2070827789","https://openalex.org/W2079781327","https://openalex.org/W2086565819","https://openalex.org/W2093412621","https://openalex.org/W2095499328","https://openalex.org/W2111943083","https://openalex.org/W2153318031","https://openalex.org/W2157363228","https://openalex.org/W2182449369","https://openalex.org/W2486885342","https://openalex.org/W2517637501","https://openalex.org/W2746222445","https://openalex.org/W2949980141","https://openalex.org/W2963077011","https://openalex.org/W3122095061","https://openalex.org/W3122729695","https://openalex.org/W3125153217"],"related_works":["https://openalex.org/W3121407017","https://openalex.org/W2763948697","https://openalex.org/W1986597272","https://openalex.org/W3126020345","https://openalex.org/W2952005967","https://openalex.org/W3121459747","https://openalex.org/W3026541720","https://openalex.org/W2949695377","https://openalex.org/W3155698080","https://openalex.org/W2032422763","https://openalex.org/W2080966090","https://openalex.org/W2626836153","https://openalex.org/W2745380489","https://openalex.org/W3004600189","https://openalex.org/W2038733621","https://openalex.org/W70284004","https://openalex.org/W3124005131","https://openalex.org/W2211484512","https://openalex.org/W136071984","https://openalex.org/W1037680883"],"abstract_inverted_index":{"We":[0,15,62,85,139,174],"study":[1,133,175],"pricing":[2],"and":[3,108,182],"superhedging":[4,137],"strategies":[5],"for":[6],"game":[7,69,162],"options":[8],"in":[9,22,31,103],"an":[10,43,96],"imperfect":[11,44],"market":[12,37,45],"with":[13,46,91,118,128],"default.":[14],"extend":[16],"the":[17,32,40,49,56,59,64,68,72,75,80,92,134,142,147,152,156,165,176,188,194],"results":[18],"obtained":[19],"by":[20,123],"Kifer":[21],"[Game":[23],"Options,":[24],"Finance.":[25],"Stoch.,":[26],"4":[27],"(2000),":[28],"pp.":[29],"443--463]":[30],"case":[33,41,143],"of":[34,42,58,67,74,95,136,144,160,168,178],"a":[35,119,124,161,169,179,183],"perfect":[36],"model":[38,195],"to":[39,82,190],"default,":[47],"when":[48],"imperfections":[50],"are":[51],"taken":[52],"into":[53],"account":[54],"via":[55],"nonlinearity":[57],"wealth":[60],"dynamics.":[61],"introduce":[63],"seller's":[65,158],"price":[66,89,159],"option":[70,163],"as":[71,164],"infimum":[73],"initial":[76],"wealths":[77],"which":[78,186],"allow":[79,187],"seller":[81,189],"be":[83,191],"superhedged.":[84],"prove":[86],"that":[87],"this":[88],"coincides":[90],"value":[93,166],"function":[94,167],"associated":[97],"generalized":[98,171],"Dynkin":[99,172],"game,":[100],"recently":[101],"introduced":[102],"[R.":[104],"Dumitrescu,":[105],"M.-C.":[106],"Quenez,":[107],"A.":[109],"Sulem,":[110],"Elect.":[111],"J.":[112],"Probab.,":[113],"21":[114],"(2016),":[115],"64],":[116],"expressed":[117],"nonlinear":[120,125],"expectation":[121],"induced":[122],"backward":[126],"SDE":[127],"default":[129,153],"jump.":[130],"We,":[131],"moreover,":[132],"existence":[135,177],"strategies.":[138],"then":[140],"address":[141],"ambiguity":[145,150],"on":[146,151],"model---for":[148],"example":[149],"probability---and":[154],"characterize":[155],"robust":[157],"mixed":[170],"game.":[173],"cancellation":[180],"time":[181],"trading":[184],"strategy":[185],"superhedged,":[192],"whatever":[193],"is.":[196]},"counts_by_year":[{"year":2016,"cited_by_count":1}],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2025-10-10T00:00:00"}