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A Dynkin game on assets with incomplete information on the return

De Angelis, Tiziano, Gensbittel, Fabien and Villeneuve, Stéphane (2020) A Dynkin game on assets with incomplete information on the return. Mathematics of Operations Research. (In Press)

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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: 2020
Refereed: Yes
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 12 Nov 2019 08:12
Last Modified: 03 Sep 2020 12:57
["eprint_fieldname_oai_identifier" not defined]: oai:tse-fr.eu:123672
URI: http://publications.ut-capitole.fr/id/eprint/32887

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