Optimal stopping games for a process with jumps
(English)Article in journal (Other academic) Submitted
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.
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:uu:diva-316577OAI: oai:DiVA.org:uu-316577DiVA: diva2:1078317