Advanced Search
MyIDEAS: Login to save this paper or follow this series

A Class of Solvable Stopping Games

Contents:

Author Info

  • Luis H. R. Alvarez E.

    ()
    (Department of Economics, Turku School of Economics)

Abstract

We consider a class of Dynkin games in the case where the underlying process evolves according to a one-dimensional but otherwise general diffusion. We establish general conditions under which both the value and the saddle point equilibrium exist and under which the exercise boundaries characterizing the saddle point strategy can be explicitly characterized in terms of a pair of standard first order necessary conditions for optimality. We also analyze those cases where an extremal pair of boundaries exists and show that there are circumstances under which increased volatility may break up the existence of a saddle point.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.ace-economics.fi/kuvat/ACE11%20Alvarez.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Aboa Centre for Economics in its series Discussion Papers with number 11.

as in new window
Length: 34
Date of creation: Oct 2006
Date of revision:
Handle: RePEc:tkk:dpaper:dp11

Contact details of provider:
Postal: Rehtorinpellonkatu 3, FIN-20500 TURKU
Phone: +358 2 333 51
Web page: http://ace-economics.fi
More information through EDIRC

Related research

Keywords: Dynkin games; linear diffusions; fundamental solutions; minimal excessive functions;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Andreas Kyprianou, 2004. "Some calculations for Israeli options," Finance and Stochastics, Springer, vol. 8(1), pages 73-86, January.
  2. Luis H. R. Alvarez, 2001. "Reward functionals, salvage values, and optimal stopping," Computational Statistics, Springer, vol. 54(2), pages 315-337, December.
  3. Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. S\"oren Christensen, 2011. "Optimal decision under ambiguity for diffusion processes," Papers 1110.3897, arXiv.org, revised Oct 2012.
  2. Yuri Kifer, 2012. "Dynkin Games and Israeli Options," Papers 1209.1791, arXiv.org.
  3. Luis H. R. Alvarez E., 2006. "Minimum Guaranteed Payments and Costly Cancellation Rights: A Stopping Game Perspective," Discussion Papers 12, Aboa Centre for Economics.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:tkk:dpaper:dp11. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Aleksandra Maslowska).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.