Dynkin's games and Israeli options

DOI10.1155/2013/856458zbMath1271.91022arXiv1209.1791OpenAlexW2079781327WikidataQ58999987 ScholiaQ58999987MaRDI QIDQ1952697

Yuri Kifer

Publication date: 3 June 2013

Published in: ISRN Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.1791

zbMATH Keywords

discrete approximationsgame optionsIsraeli optionsoptimal stopping gamesderivative securities

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (16)

Reflected and doubly reflected BSDEs driven by RCLL martingales ⋮ Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles ⋮ On zero-sum optimal stopping games ⋮ Nash Equilibria for Game Contingent Claims with Utility-Based Hedging ⋮ Numerical scheme for Dynkin games under model uncertainty ⋮ On the value of non-Markovian Dynkin games with partial and asymmetric information ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ Recombining Tree Approximations for Optimal Stopping for Diffusions ⋮ Second-order BSDEs with general reflection and game options under uncertainty ⋮ Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection ⋮ Perpetual cancellable American options with convertible features ⋮ Discrete time stochastic multi-player competitive games with affine payoffs ⋮ A zero-sum Poisson stopping game with asymmetric signal rates ⋮ Stochastic Games ⋮ Arbitrage-free pricing of multi-person game claims in discrete time ⋮ Error estimates for binomial approximations of game put options

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