Open Access
2018 Numerical scheme for Dynkin games under model uncertainty
Yan Dolinsky, Benjamin Gottesman
Electron. J. Probab. 23: 1-20 (2018). DOI: 10.1214/18-EJP198

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.

Citation

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Yan Dolinsky. Benjamin Gottesman. "Numerical scheme for Dynkin games under model uncertainty." Electron. J. Probab. 23 1 - 20, 2018. https://doi.org/10.1214/18-EJP198

Information

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

zbMATH: 06924686
MathSciNet: MR3835480
Digital Object Identifier: 10.1214/18-EJP198

Subjects:
Primary: 91A15 , 91G20 , 91G60

Keywords: Dynkin games , Game options , model uncertainty , Skorokhod embedding

Vol.23 • 2018
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