On Zero-Sum Optimal Stopping Games

8 Pages Posted: 19 Aug 2014  

Erhan Bayraktar

University of Michigan at Ann Arbor - Department of Mathematics

Zhou Zhou

University of Minnesota - Twin Cities

Date Written: August 15, 2014

Abstract

We consider a zero-sum optimal stopping game in which the value of the reward is revealed when the second player stops, instead of it being revealed after the first player's stopping time. Such problems appear in the context of financial mathematics when one sells and buys two different American options and wants to maximize the utility from his positions.

Keywords: Stopping games with priority, non-anticipative stopping strategies, American options

Suggested Citation

Bayraktar, Erhan and Zhou, Zhou, On Zero-Sum Optimal Stopping Games (August 15, 2014). Available at SSRN: https://ssrn.com/abstract=2481444

Erhan Bayraktar (Contact Author)

University of Michigan at Ann Arbor - Department of Mathematics ( email )

2074 East Hall
530 Church Street
Ann Arbor, MI 48109-1043
United States

Zhou Zhou

University of Minnesota - Twin Cities ( email )

420 Delaware St. SE
Minneapolis, MN 55455
United States

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