A Dynkin Game on Assets with Incomplete Information on the Return

@article{Angelis2021ADG,
  title={A Dynkin Game on Assets with Incomplete Information on the Return},
  author={T. D. Angelis and Fabien Gensbittel and S. Villeneuve},
  journal={Math. Oper. Res.},
  year={2021},
  volume={46},
  pages={28-60}
}
This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a bi-dimensional diffusion $(X,Y)$. Then we characterize the existence of a Nash equilibrium in pure strategies in which each player stops at the hitting time of $(X,Y)$ to a set with moving boundary. A detailed description of the stopping sets for the two players is… Expand
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