The Dynkin game with regime switching and applications to pricing game options
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Publication:2151666
DOI10.1007/s10479-020-03656-yzbMath1494.91031OpenAlexW3035063471MaRDI QIDQ2151666
Publication date: 5 July 2022
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-020-03656-y
Related Items (3)
Perpetual cancellable American options with convertible features ⋮ Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions ⋮ Non-linear Dynkin games over split stopping times
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