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De Angelis, Tiziano, Gensbittel, Fabien
and Villeneuve, Stéphane
(2021)
A Dynkin game on assets with incomplete information on the return.
Mathematics of Operations Research, vol.10 (n° 1).
pp. 28-60.
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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: | Article |
|---|---|
| Language: | English |
| Date: | February 2021 |
| Refereed: | Yes |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse), TSM Research (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 12 Nov 2019 08:12 |
| Last Modified: | 28 Feb 2022 02:00 |
| OAI Identifier: | oai:tse-fr.eu:123672 |
| URI: | https://publications.ut-capitole.fr/id/eprint/32887 |
Available Versions of this Item
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A Dynkin game on assets with incomplete information on the return. (deposited 23 May 2017 14:08)
- A Dynkin game on assets with incomplete information on the return. (deposited 12 Nov 2019 08:12) [Currently Displayed]
