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.
Bibliographical noteFunding 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.
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- Dynkin games
- Game options
- Model uncertainty
- Skorokhod embedding