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SIAMCO
2010
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13 years 9 months ago
The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
In this paper we study the nonzero-sum Dynkin game in continuous time, which is a two-player noncooperative game on stopping times. We show that it has a Nash equilibrium point for...
Said Hamadène, Jianfeng Zhang