Dynkin games with heterogeneous beliefs

Ekström, E; Glover, K; Leniec, M

Dynkin games with heterogeneous beliefs

Ekström, E Glover, K

Leniec, M

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Publication Type:: Journal Article
Citation:: Journal of Applied Probability, 2017, 54 (1), pp. 236 - 251
Issue Date:: 2017-03-01

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Field	Value	Language
dc.contributor.author	Ekström, E	en_US
dc.contributor.author	Glover, K https://orcid.org/0000-0002-1518-3482	en_US
dc.contributor.author	Leniec, M	en_US
dc.date.issued	2017-03-01	en_US
dc.identifier.citation	Journal of Applied Probability, 2017, 54 (1), pp. 236 - 251	en_US
dc.identifier.issn	0021-9002	en_US
dc.identifier.uri	http://hdl.handle.net/10453/119801
dc.description.abstract	Copyright © 2017 Applied Probability Trust. We study zero-sum optimal stopping games (Dynkin games) between two players who disagree about the underlying model. In a Markovian setting, a verification result is established showing that if a pair of functions can be found that satisfies some natural conditions then a Nash equilibrium of stopping times is obtained, with the given functions as the corresponding value functions. In general, however, there is no uniqueness of Nash equilibria, and different equilibria give rise to different value functions. As an example, we provide a thorough study of the game version of the American call option under heterogeneous beliefs. Finally, we also study equilibria in randomized stopping times.	en_US
dc.relation.ispartof	Journal of Applied Probability	en_US
dc.relation.isbasedon	10.1017/jpr.2016.97	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	Dynkin games with heterogeneous beliefs	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	54	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0104 Statistics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	54	en_US

Abstract:

Copyright © 2017 Applied Probability Trust. We study zero-sum optimal stopping games (Dynkin games) between two players who disagree about the underlying model. In a Markovian setting, a verification result is established showing that if a pair of functions can be found that satisfies some natural conditions then a Nash equilibrium of stopping times is obtained, with the given functions as the corresponding value functions. In general, however, there is no uniqueness of Nash equilibria, and different equilibria give rise to different value functions. As an example, we provide a thorough study of the game version of the American call option under heterogeneous beliefs. Finally, we also study equilibria in randomized stopping times.

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http://hdl.handle.net/10453/119801