In this talk, we first present doubly reflected BSDEs with intermittent upper boundary and how they relate to the pricing and hedging of game option with possible 'call protection'.

We then propose a numerical scheme to approximate the solution of this particular type of reflected BSDEs and prove some convergence results for this scheme. Such numerical procedure appears to be an interesting alternative to PDE valuation techniques. Indeed, the PDE approach suffers generally the curse of dimensionality in the presence of 'call protection'. Our approach, based on Monte Carlo simulation, is very competitive in practice even for complicated 'call protection' clause.