TY  - GEN
AB  - This paper studies two player stopping games in a discrete time multiple prior framework with a finite time horizon. Optimal stopping times as well as recursive formulas for the value processes of the games are derived. These results are used to characterize the set of no-arbitrage prices for a game option. The notion of a no-arbitrage price for a game option is based on the idea to consider the payoff for fixed stopping times as an European option.
DA  - 2019
KW  - Dynkin games
KW  - multiple priors
KW  - game options
KW  - incomplete Markets
LA  - eng
PY  - 2019
SN  - 0931-6558
SP  - 28-
TI  - Game Options under Knightian Uncertainty in Discrete Time
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29360618
Y2  - 2024-11-24T02:22:19
ER  -