8 Pages Posted: 19 Aug 2014
Date Written: August 15, 2014
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: Suggested Citation
Bayraktar, Erhan and Zhou, Zhou, On Zero-Sum Optimal Stopping Games (August 15, 2014). Available at SSRN: https://ssrn.com/abstract=2481444