The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
Copyright policy )The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
In this paper we study the nonzero-sum Dynkin game in continuous time which is a two player non-cooperative game on stopping times. We show that it has a Nash equilibrium point for general stochastic processes. As an application, we consider the problem of pricing American game contingent claims by the utility maximization approach.
16 pages
- University of Maine at Fort Kent United States
Probability (math.PR), 91A15, 91A15; 91A10; 91A30; 60G40; 91A60, FOS: Economics and business, 91A60, 91A30, 91A10, FOS: Mathematics, Pricing of Securities (q-fin.PR), Quantitative Finance - Pricing of Securities, Mathematics - Probability, 60G40
Probability (math.PR), 91A15, 91A15; 91A10; 91A30; 60G40; 91A60, FOS: Economics and business, 91A60, 91A30, 91A10, FOS: Mathematics, Pricing of Securities (q-fin.PR), Quantitative Finance - Pricing of Securities, Mathematics - Probability, 60G40
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