The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options

Simple item page
dc.creatorHamadene, Said
dc.creatorZhang, Jianfeng
dc.date2008-10-31
dc.date.accessioned2026-07-07T12:10:40Z
dc.date.available2026-07-07T12:10:40Z
dc.descriptionIn 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.
dc.description16 pages
dc.identifierhttps://arxiv.org/abs/0810.5698
dc.identifierhttp://arxiv.org/abs/0810.5698
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209997
dc.subjectPricing of Securities
dc.subjectProbability
dc.subject91A15; 91A10; 91A30; 60G40; 91A60
dc.titleThe Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options
dc.typetext

Files

Collections

arXiv