Some optimal stopping problems for pricing game options
Kunming（2008）
摘要
A game option is a general American-type option with the added possibility that not only the option holder, but also the option writer, may terminate the contract at any time. In this paper, We establish some equivalent forms between game option pricing problems and reflected backward stochastic differential equations (RBSDEs for short) with one reflected barrier and obtain the existence and uniqueness of the solution for the game option. By applying the RBSDE methods, we obtain some properties of value function of the game option and prove the comparison theorem for RBSDEs with one reflected barrier.
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关键词
differential equations,game theory,pricing,share prices,stochastic processes,optimal stopping problems,option holder,option writer,pricing game options,reflected backward stochastic differential equations,game option,optimal stopping problem,rbsde,zero-sum two player stochastic differential game,value function,option pricing,mathematics,numerical simulation,games,mathematical model,filtration,partial differential equations,optimal control
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