Electronic Journal of Probability

Numerical scheme for Dynkin games under model uncertainty

Yan Dolinsky and Benjamin Gottesman

Full-text: Open access

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.

Article information

Source
Electron. J. Probab., Volume 23 (2018), paper no. 74, 20 pp.

Dates
Received: 30 June 2017
Accepted: 15 July 2018
First available in Project Euclid: 27 July 2018

Permanent link to this document
https://projecteuclid.org/euclid.ejp/1532678637

Digital Object Identifier
doi:10.1214/18-EJP198

Mathematical Reviews number (MathSciNet)
MR3835480

Zentralblatt MATH identifier
06924686

Subjects
Primary: 91A15: Stochastic games 91G20: Derivative securities 91G60: Numerical methods (including Monte Carlo methods)

Keywords
Dynkin games game options model uncertainty Skorokhod embedding

Rights
Creative Commons Attribution 4.0 International License.

Citation

Dolinsky, Yan; Gottesman, Benjamin. Numerical scheme for Dynkin games under model uncertainty. Electron. J. Probab. 23 (2018), paper no. 74, 20 pp. doi:10.1214/18-EJP198. https://projecteuclid.org/euclid.ejp/1532678637


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