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.
Year of publication: |
2008-10
|
---|---|
Authors: | Hamadene, Said ; Zhang, Jianfeng |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Optimal Stopping under Adverse Nonlinear Expectation and Related Games
Nutz, Marcel, (2012)
-
Contract theory in continuous-time models
Cvitanić, Jakša, (2013)
-
Principal-Agent Problems with Exit Options
Cvitanic, Jaksa, (2008)
- More ...