Numerical scheme for dynkin games under model uncertainty

Yan Dolinsky; Benjamin Gottesman

doi:10.1214/18-EJP198

Numerical scheme for dynkin games under model uncertainty

Yan Dolinsky, Benjamin Gottesman

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

We introduce an efficient numerical scheme for continuous time Dynkin games under model uncertainty. We use the Skorokhod embedding in order to construct recombining tree approximations. This technique allows us to determine convergence rates and to construct numerically optimal stopping strategies. We apply our method to several examples of game options.

Original language	American English
Article number	74
Journal	Electronic Journal of Probability
Volume	23
DOIs	https://doi.org/10.1214/18-EJP198
State	Published - 2018

Bibliographical note

Funding Information:
The authors would like thank the anonymous referees for important comments which helped to improve the paper. This research was partially supported by the ISF grant no 160/17.

Publisher Copyright:
© 2018, University of Washington. All rights reserved.

Keywords

Dynkin games
Game options
Model uncertainty
Skorokhod embedding

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10.1214/18-EJP198

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Numerical scheme for dynkin games under model uncertainty

Abstract

Bibliographical note

Keywords

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