On the Value of Optimal Stopping Games
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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|Date of creation:||Aug 2006|
|Publication status:||Published in The Annals of Applied Probability : an official journal of the institute of mathematical statistics, The Institute of Mathematical Statistics, 2006, 16 (3), pp.1576-1596|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00173182|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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- 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.
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