eprintid: 10194549
rev_number: 15
eprint_status: archive
userid: 699
dir: disk0/10/19/45/49
datestamp: 2024-07-16 13:11:35
lastmod: 2024-08-22 17:59:03
status_changed: 2024-08-22 17:53:10
type: article
metadata_visibility: show
sword_depositor: 699
creators_name: Pérez, José Luis
creators_name: Rodosthenous, Neofytos
creators_name: Kazutoshi, Yamazaki
title: Nonzero-Sum Optimal Stopping Game with Continuous vs. Periodic Exercise Opportunities
ispublished: inpress
divisions: UCL
divisions: B04
divisions: C06
divisions: F59
note: This version is the author accepted manuscript. For information on re-use, please refer to the publisher's terms and conditions.
abstract: We introduce a new nonzero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modeling the value of an asset, one player observes and can act on the process continuously, whereas the other player can act on it only periodically at independent Poisson arrival times. The first one to stop receives a reward, different for each player, whereas the other one gets nothing. We study how each player balances the maximization of gains against the maximization of the likelihood of stopping before the opponent. In such a setup driven by a Lévy process with positive jumps, we not only prove the existence but also explicitly construct a Nash equilibrium with values of the game written in terms of the scale function. Numerical illustrations with put-option payoffs are also provided to study the behavior of the players’ strategies as well as the quantification of the value of available exercise opportunities.
date: 2024-07-29
date_type: published
publisher: INFORMS
official_url: https://doi.org/10.1287/moor.2023.0123
oa_status: green
full_text_type: other
language: eng
primo: open
primo_central: open_green
verified: verified_manual
elements_id: 2296836
doi: 10.1287/moor.2023.0123
lyricists_name: Rodosthenous, Neofytos
lyricists_id: NRODO76
actors_name: Rodosthenous, Neofytos
actors_id: NRODO76
actors_role: owner
full_text_status: public
publication: Mathematics of Operations Research
citation:        Pérez, José Luis;    Rodosthenous, Neofytos;    Kazutoshi, Yamazaki;      (2024)    Nonzero-Sum Optimal Stopping Game with Continuous vs. Periodic Exercise Opportunities.                   Mathematics of Operations Research        10.1287/moor.2023.0123 <https://doi.org/10.1287/moor.2023.0123>.    (In press).    Green open access   
 
document_url: https://discovery.ucl.ac.uk/id/eprint/10194549/1/Perez-Rodosthenous-Yamazaki.pdf