Numerical scheme for dynkin games under model uncertainty

Yan Dolinsky, Benjamin Gottesman

Research output: Contribution to journalArticlepeer-review

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.

Original languageEnglish
Article number74
JournalElectronic Journal of Probability
Volume23
DOIs
StatePublished - 2018

Keywords

  • Dynkin games
  • Game options
  • Model uncertainty
  • Skorokhod embedding

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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