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On the value of optimal stopping games

  • Erik Ekstr\"{o}m
  • Stephane Villeneuve

We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer. Moreover, conditions are provided under which the existence of an optimal stopping time for the buyer is guaranteed. The results are illustrated explicitly in two examples.

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Paper provided by in its series Papers with number math/0610324.

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Date of creation: Oct 2006
Date of revision:
Publication status: Published in Annals of Applied Probability 2006, Vol. 16, No. 3, 1576-1596
Handle: RePEc:arx:papers:math/0610324
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  1. Nicole El Karoui & Monique Jeanblanc-Picquè & Steven E. Shreve, 1998. "Robustness of the Black and Scholes Formula," Mathematical Finance, Wiley Blackwell, vol. 8(2), pages 93-126.
  2. Bergman, Yaacov Z & Grundy, Bruce D & Wiener, Zvi, 1996. " General Properties of Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1573-1610, December.
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