Numerical Scheme for Dynkin Games under Model Uncertainty
Probability
2018-02-20 v2
Abstract
We introduce an efficient numerical scheme for continuous time Dynkin games under model uncertainty. We use the Skorokhod embedding in order to construct recombining tree approximations. This technique allows us to determine convergence rates and to construct numerically optimal stopping strategies. We apply our method to several examples of game options.
Keywords
Cite
@article{arxiv.1707.00033,
title = {Numerical Scheme for Dynkin Games under Model Uncertainty},
author = {Benjamin Gottesman and Yan Dolinsky},
journal= {arXiv preprint arXiv:1707.00033},
year = {2018}
}
Comments
17 pages, 1 figure