Game Options under Knightian Uncertainty in Discrete Time

Rubbenstroth B (2019) Center for Mathematical Economics Working Papers; 619.
Bielefeld: Center for Mathematical Economics.

Diskussionspapier | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
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.
Stichworte
Dynkin games; multiple priors; game options; incomplete Markets
Erscheinungsjahr
2019
Band
619
Seite(n)
28
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2936061

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Rubbenstroth B. Game Options under Knightian Uncertainty in Discrete Time. Center for Mathematical Economics Working Papers. Vol 619. Bielefeld: Center for Mathematical Economics; 2019.
Rubbenstroth, B. (2019). Game Options under Knightian Uncertainty in Discrete Time (Center for Mathematical Economics Working Papers, 619). Bielefeld: Center for Mathematical Economics.
Rubbenstroth, B. (2019). Game Options under Knightian Uncertainty in Discrete Time. Center for Mathematical Economics Working Papers, 619, Bielefeld: Center for Mathematical Economics.
Rubbenstroth, B., 2019. Game Options under Knightian Uncertainty in Discrete Time, Center for Mathematical Economics Working Papers, no.619, Bielefeld: Center for Mathematical Economics.
B. Rubbenstroth, Game Options under Knightian Uncertainty in Discrete Time, Center for Mathematical Economics Working Papers, vol. 619, Bielefeld: Center for Mathematical Economics, 2019.
Rubbenstroth, B.: Game Options under Knightian Uncertainty in Discrete Time. Center for Mathematical Economics Working Papers, 619. Center for Mathematical Economics, Bielefeld (2019).
Rubbenstroth, Bodo. Game Options under Knightian Uncertainty in Discrete Time. Bielefeld: Center for Mathematical Economics, 2019. Center for Mathematical Economics Working Papers. 619.
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2019-06-13T09:10:51Z
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