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Article Dans Une Revue Mathematics of Operations Research Année : 2020

A Dynkin game on assets with incomplete information on the return

Résumé

This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a bi-dimensional diffusion (X; Y ). Then we characterize the existence of a Nash equilibrium in pure strategies in which each player stops at the hitting time of (X; Y ) to a set with moving boundary. A detailed description of the stopping sets for the two players is provided along with global C1 regularity of the value function.
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Dates et versions

hal-03142523 , version 1 (16-02-2021)

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Tiziano de Angelis, Fabien Gensbittel, Stéphane Villeneuve. A Dynkin game on assets with incomplete information on the return. Mathematics of Operations Research, 2020, 46 (1), ⟨10.1287/moor.2019.1046⟩. ⟨hal-03142523⟩
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