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Search: subject:"Continuous Time"
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Dynkin games
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continuous time
1
continuous time embedding
1
equilibrium
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intraday periodicity
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realized volatility
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stochastic analysis
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stopping games
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volatility proxy
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Laraki, Rida
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Solan, Eilon
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Vilder, Robin De
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Visser, Marcel P.
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Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
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1
Equilibrium in Two-Player Nonzero-Sum Dynkin Games in
Continuous
Time
Laraki, Rida
;
Solan, Eilon
-
HAL
-
2012
We prove that every two-player nonzero-sum Dynkin game in
continuous
time
admits an "epsilon" equilibrium in randomized …
Persistent link: https://www.econbiz.de/10010899803
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2
Proxies for daily volatility
Vilder, Robin De
;
Visser, Marcel P.
-
HAL
-
2007
features of the approach are (1) a simple
continuous
time
extension of discrete time volatility models and (2) an abstract …
Persistent link: https://www.econbiz.de/10010738760
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