The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options
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.
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- Kuhn, Christoph, 2004. "Game contingent claims in complete and incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 40(8), pages 889-902, December.
- Stéphane Villeneuve & Erik Ekstrom, 2006. "On the Value of Optimal Stopping Games," Post-Print hal-00173182, HAL.
- Rida Laraki & Eilon Solan, 2002. "Stopping Games in Continuous Time," Discussion Papers 1354, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Jan Kallsen & Christoph Kühn, 2004. "Pricing derivatives of American and game type in incomplete markets," Finance and Stochastics, Springer, vol. 8(2), pages 261-284, May.
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