The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options

Details The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options The Continuous Time Nonzero-sum Dynkin Game Problem and Application in Game Options

2008-10-31

arxiv.org/abs/0810.5698v1

Economy

Quantitative Finance

Pricing of Securities

16 pages

Scientific paper

In this paper we study the nonzero-sum Dynkin game in continuous time which
is a two player non-cooperative 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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