Game options under Knightian uncertainty in discrete time

This paper studies two player stopping games in a discrete time multiple prior framework with a finite time horizon. Optimal stopping times as well as recursive formulas for the value processes of the games are derived. These results are used to characterize the set of no-arbitrage prices for a game option. The notion of a no-arbitrage price for a game option is based on the idea to consider the payoff for fixed stopping times as an European option.

MoreLess

Year of publication:	2019
Authors:	Rubbenstroth, Bodo
Publisher:	Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW)
Subject:	Dynkin games \| multiple priors \| game options \| incomplete Markets

More details

Series:	Center for Mathematical Economics Working Papers ; 619
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1667569104 [GVK] hdl:10419/201644 [Handle] RePEc:bie:wpaper:619 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10012042158