BSDE approach for Dynkin game and American game option

DOI10.1007/978-3-319-30417-5_9MaRDI QIDQ4558896zbMATH OpenOpenAlexFDO

Authors E. H. Essaky, M. Hassani

Publication date 30 November 2018

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-30417-5_9

zbMATH Keywords

Dynkin gamesaddle-pointAmerican game optionbackward stochastic differential equations with double reflecting barriers

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15)

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Cites work

• scientific article; zbMATH DE number 3538599 (Why is no real title available?)
• BSDE approach to non-zero-sum stochastic differential games of control and stopping
• BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.
• BSDEs with two reflecting barriers driven by a Brownian and a Poisson noise and related Dynkin game
• BSDEs with two reflecting barriers: the general result
• Backward stochastic differential equations with reflection and Dynkin games
• Continuous-Time Dynkin Games with Mixed Strategies
• Dynkin games and martingale methods
• Game options
• Generalized BSDE with 2-reflecting barriers and stochastic quadratic growth
• Generalized Dynkin games and doubly reflected BSDEs with jumps
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Mixed Zero-Sum Stochastic Differential Game and American Game Options
• Nonlinear variational inequalities and differential games with stopping times
• Reflected BSDEs and mixed game problem
• Sur un problème de dynkin
• The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options

Cited in

(5)

• Second-order BSDEs with general reflection and game options under uncertainty
• The Dynkin game with regime switching and applications to pricing game options
• Generalized Dynkin games and doubly reflected BSDEs with jumps
• Doubly reflected BSDEs with integrable parameters and related Dynkin games
• Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles

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