The Dynkin game with regime switching and applications to pricing game options
Year of publication: |
2022
|
---|---|
Authors: | Lv, Siyu ; Wu, Zhen ; Zhang, Qing |
Published in: |
Risk management decisions and value under uncertainty. - Dordrecht, The Netherlands : Springer. - 2022, p. 1159-1182
|
Subject: | Optimal stopping games | Regime switching | Variational inequalities | Viscosity solutions | Game options | Suchtheorie | Search theory | Spieltheorie | Game theory | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain |
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