The Dynkin game with regime switching and applications to pricing game options
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DOI: 10.1007/s10479-020-03656-y
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References listed on IDEAS
- Robert Elliott & Tak Siu, 2010. "On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy," Annals of Operations Research, Springer, vol. 176(1), pages 271-291, April.
- Bayraktar, Erhan & Yao, Song, 2015.
"Doubly reflected BSDEs with integrable parameters and related Dynkin games,"
Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4489-4542.
- Erhan Bayraktar & Song Yao, 2014. "Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games," Papers 1412.2053, arXiv.org, revised Jul 2015.
- Roxana Dumitrescu & Marie-Claire Quenez & Agn`es Sulem, 2015. "Game options in an imperfect market with default," Papers 1511.09041, arXiv.org, revised Jul 2017.
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Cited by:
- Marzougue, Mohamed, 2023. "Non-linear Dynkin games over split stopping times," Statistics & Probability Letters, Elsevier, vol. 193(C).
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Keywords
Optimal stopping games; Regime switching; Variational inequalities; Viscosity solutions; Game options;All these keywords.
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