The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
نویسندگان
چکیده
منابع مشابه
The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
In this paper we study the nonzero-sum Dynkin game in continuous time, which is a two-player noncooperative game on stopping times. We show that it has a Nash equilibrium point for general stochastic processes. As an application, we consider the problem of pricing American game contingent claims by the utility maximization approach.
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2010
ISSN: 0363-0129,1095-7138
DOI: 10.1137/080738933