A Dynkin Game on Assets with Incomplete Information on the Return

• 成果类型: Article
• 署名作者: De Angelis, Tiziano; Gensbittel, Fabien; Villeneuve, Stephane
• 署名单位: University of Leeds; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2019.1046
• 发表日期: 2021
• 页码: 28-60
• 关键词: optimal stopping games

摘要

This paper studies a two-player 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 bidimensional 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 a moving boundary. A detailed description of the stopping sets for the two players is provided along with global C(1 )regularity of the value function.