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 | English |
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Article number | 74 |
Journal | Electronic Journal of Probability |
Volume | 23 |
DOIs | |
State | Published - 2018 |
Bibliographical note
Publisher Copyright:© 2018, University of Washington. All rights reserved.
Keywords
- Dynkin games
- Game options
- Model uncertainty
- Skorokhod embedding