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Optimal stopping games for a process with jumps
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Applied Mathematics and Statistics.
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics.
(English)Article in journal (Other academic) Submitted
Abstract [en]

This paper presents a study of a general two-player optimal stopping game in a jump-diffusion model. An iterative scheme to find the value of this game is derived, specifically the value is shown to be the limit of a sequence of stopping games for a related diffusion but with a running reward. Furthermore the convergence is uniform and exponential. The special case of a cancellable put option is studied.

National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-316577OAI: oai:DiVA.org:uu-316577DiVA: diva2:1078317
Available from: 2017-03-03 Created: 2017-03-03 Last updated: 2017-03-14
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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
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