A Class of Solvable Stopping Games
We consider a class of Dynkin games in the case where the underlying process evolves according to a one-dimensional but otherwise general diffusion. We establish general conditions under which both the value and the saddle point equilibrium exist and under which the exercise boundaries characterizing the saddle point strategy can be explicitly characterized in terms of a pair of standard first order necessary conditions for optimality. We also analyze those cases where an extremal pair of boundaries exists and show that there are circumstances under which increased volatility may break up the existence of a saddle point.
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- Andreas Kyprianou, 2004. "Some calculations for Israeli options," Finance and Stochastics, Springer, vol. 8(1), pages 73-86, January.
- Erik Ekstr\"om & Stephane Villeneuve, 2006.
"On the value of optimal stopping games,"
- Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
- repec:spr:compst:v:54:y:2001:i:2:p:315-337 is not listed on IDEAS
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