The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options
Abstract
Description
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.
16 pages
16 pages