Game Options under Knightian Uncertainty in Discrete Time
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Bodo Rubbenstroth: Center for Mathematical Economics, Bielefeld University
No 619, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University
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.
Keywords: Dynkin games; multiple priors; game options; incomplete Markets (search for similar items in EconPapers)
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https://pub.uni-bielefeld.de/download/2936061/2936062 First Version, 2019 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:619
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