On the value of optimal stopping games

被引：46

作者：

Ekstrom, Erik

Villeneuve, Stephane

机构：

[1] Univ Manchester, Sch Math, Manchester M60 1QD, Lancs, England

[2] Univ Toulouse 1, CNRS, GREMAQ, UMR 5604, F-31000 Toulouse, France

来源：

ANNALS OF APPLIED PROBABILITY | 2006年 / 16卷 / 03期

关键词：

optimal stopping games; Dynkin games; optimal stopping; Israeli options; smooth-fit principle;

D O I：

10.1214/105051606000000204

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 [统计学]; 070103 [概率论与数理统计]; 0714 [统计学];

摘要：

We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer. Moreover, conditions are provided under which the existence of an optimal stopping time for the buyer is guaranteed. The results are illustrated explicitly in two examples.

引用

页码：1576 / 1596

页数：21

共 15 条

[1]

Beibel M., 2002, THEOR PROBAB APPL, V45, P547

[2]

BENSOUSSAN A, 1977, T AM MATH SOC, V231, P275

[3]

Bensoussan A., 1974, J. Funct. Anal, V16, P305, DOI 10.1016/0022-1236(74)90076-7

[4]

General properties of option prices [J].