The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options
Download full text from publisher
References listed on IDEAS
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Giovanni Mottola, 2014. "Generalized Dynkin game of switching type representation for defaultable claims in presence of contingent CSA," Papers 1410.0594, arXiv.org, revised Jan 2015.
- Giovanni Mottola, 2014. "Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA," Papers 1412.1325, arXiv.org, revised Feb 2015.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:0810.5698. 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: (arXiv administrators). General contact details of provider: http://arxiv.org/ .