Arbeitspapier
Game options under Knightian uncertainty in discrete time
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Center for Mathematical Economics Working Papers ; No. 619
- Klassifikation
-
Wirtschaft
- Thema
-
Dynkin games
multiple priors
game options
incomplete Markets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Rubbenstroth, Bodo
- Ereignis
-
Veröffentlichung
- (wer)
-
Bielefeld University, Center for Mathematical Economics (IMW)
- (wo)
-
Bielefeld
- (wann)
-
2019
- Handle
- URN
-
urn:nbn:de:0070-pub-29360618
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Rubbenstroth, Bodo
- Bielefeld University, Center for Mathematical Economics (IMW)
Entstanden
- 2019
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