Article

A Dynkin game on assets with incomplete information on the return

Tiziano De Angelis, Fabien Gensbittel et Stéphane Villeneuve

Résumé

This paper studies a 2-players 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 bi-dimensional 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 moving boundary. A detailed description of the stopping sets for the two players is provided along with global C1 regularity of the value function.

Remplace

Tiziano De Angelis, Fabien Gensbittel et Stéphane Villeneuve, « A Dynkin game on assets with incomplete information on the return », TSE Working Paper, n° 17-815, mai 2017.

Référence

Tiziano De Angelis, Fabien Gensbittel et Stéphane Villeneuve, « A Dynkin game on assets with incomplete information on the return », Mathematics of Operations Research, 2020, à paraître.

Publié dans

Mathematics of Operations Research, 2020, à paraître