The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
نویسندگان
چکیده
In this paper we study the nonzero-sum Dynkin game in continuous time, which is a two-player noncooperative game on stopping times. We show that it has a Nash equilibrium point for general stochastic processes. As an application, we consider the problem of pricing American game contingent claims by the utility maximization approach.
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عنوان ژورنال:
- SIAM J. Control and Optimization
دوره 48 شماره
صفحات -
تاریخ انتشار 2010