Some Optimal Stopping Problems for Pricing Game Options

作     者：Yang Bing,Yang Yanrong,Meng Lina Department of Applied Mathematics,Shandong University at Weihai,Weihai,Shandong 264209,P.R.China 

会议名称：《第二十七届中国控制会议》

会议日期：2008年

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

关 键 词：Optimal Stopping Problem Game Option RBSDE Zero-sum Two Player Stochastic Differential Game 

摘      要：A game option is a general American-type option with the added possibility that not only the option holder,but also the option writer,may terminate the contract at any *** this paper,We establish some equivalent forms between game option pricing problems and Reflected Backward Stochastic Differential Equations（RBSDEs for short） with one reflected barrier and obtain the existence and uniqueness of the solution for the game *** applying the RBSDE methods,we obtain some properties of value function of the game option and prove the comparison theorem for RBSDEs with one reflected barrier.