A Dynkin game on assets with incomplete information on the return

De Angelis, Tiziano, Gensbittel, Fabien and Villeneuve, Stéphane (2017) A Dynkin game on assets with incomplete information on the return. TSE Working Paper, n. 17-815, Toulouse

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Official URL: http://tse-fr.eu/pub/31754

Abstract

This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a bi-dimensional diffusion (X; Y ). Then we characterize the existence of a Nash equilibrium in pure strategies in which each player stops at the hitting time of (X; Y ) to a set with moving boundary. A detailed description of the stopping sets for the two players is provided along with global C1 regularity of the value function.

Item Type: Monograph (Working Paper)
Language: English
Date: May 2017
Place of Publication: Toulouse
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSM Research (Toulouse), TSE-R (Toulouse)
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 23 May 2017 14:08
Last Modified: 07 Mar 2018 13:24
OAI ID: oai:tse-fr.eu:31754
URI: http://publications.ut-capitole.fr/id/eprint/24111

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