A Dynkin game on assets with incomplete information on the return

Tiziano De Angelis, Fabien Gensbittel and Stéphane Villeneuve

No 17-815, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a bi-dimensional diffusion (X; Y ). Then we characterize the existence of a Nash equilibrium in pure strategies in which each player stops at the hitting time of (X; Y ) to a set with moving boundary. A detailed description of the stopping sets for the two players is provided along with global C1 regularity of the value function.

Date: 2017-05
New Economics Papers: this item is included in nep-gth
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Citations: View citations in EconPapers (7)

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Related works:
Working Paper: A Dynkin game on assets with incomplete information on the return (2020)
Working Paper: A Dynkin game on assets with incomplete information on the return (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:31754

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