The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options
Pricing of Securities
2008-12-10 v1 Probability
Abstract
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.
Cite
@article{arxiv.0810.5698,
title = {The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options},
author = {Said Hamadene and Jianfeng Zhang},
journal= {arXiv preprint arXiv:0810.5698},
year = {2008}
}
Comments
16 pages