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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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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: | TSE-R (Toulouse), TSM Research (Toulouse) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 23 May 2017 14:08 |
| Last Modified: | 02 Apr 2021 15:55 |
| OAI Identifier: | oai:tse-fr.eu:31754 |
| URI: | https://publications.ut-capitole.fr/id/eprint/24111 |
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