On the Value of Optimal Stopping Games
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References listed on IDEAS
- 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.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tiziano De Angelis & Fabien Gensbittel & St'ephane Villeneuve, 2017.
"A Dynkin game on assets with incomplete information on the return,"
1705.07352, arXiv.org, revised Dec 2017.
- De Angelis, Tiziano & Gensbittel, Fabien & Villeneuve, Stéphane, 2017. "A Dynkin game on assets with incomplete information on the return," TSE Working Papers 17-815, Toulouse School of Economics (TSE).
- Luis H. R. Alvarez E., 2006. "Minimum Guaranteed Payments and Costly Cancellation Rights: A Stopping Game Perspective," Discussion Papers 12, Aboa Centre for Economics.
- Said Hamadene & Jianfeng Zhang, 2008. "The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options," Papers 0810.5698, arXiv.org.
- Yuri Kifer, 2012. "Dynkin Games and Israeli Options," Papers 1209.1791, arXiv.org.
- Sandroni, Alvaro & Urgun, Can, 2017. "Dynamics in Art of War," Mathematical Social Sciences, Elsevier, vol. 86(C), pages 51-58.
- Yan Dolinsky & Ariel Neufeld, 2015. "Super-replication in Fully Incomplete Markets," Papers 1508.05233, arXiv.org, revised Sep 2016.
- Yan Dolinsky, 2011. "Hedging of Game Options With the Presence of Transaction Costs," Papers 1103.1165, arXiv.org, revised Mar 2012.
- Sören Christensen, 2013. "Optimal decision under ambiguity for diffusion processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(2), pages 207-226, April.
- Soren Christensen, 2011. "Optimal decision under ambiguity for diffusion processes," Papers 1110.3897, arXiv.org, revised Oct 2012.
- Boyarchenko, Svetlana & Levendorskiĭ, Sergei, 2014. "Preemption games under Lévy uncertainty," Games and Economic Behavior, Elsevier, vol. 88(C), pages 354-380.
- Luis H. R. Alvarez E., 2006. "A Class of Solvable Stopping Games," Discussion Papers 11, Aboa Centre for Economics.
- repec:spr:mathme:v:86:y:2017:i:2:d:10.1007_s00186-017-0602-4 is not listed on IDEAS
- repec:spr:compst:v:77:y:2013:i:2:p:207-226 is not listed on IDEAS
- Luis H. R. Alvarez E. & Paavo Salminen, 2016. "Timing in the Presence of Directional Predictability: Optimal Stopping of Skew Brownian Motion," Papers 1608.04537, arXiv.org.
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