{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,4,2]],"date-time":"2023-04-02T16:54:33Z","timestamp":1680454473988},"reference-count":25,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2016,12,9]],"date-time":"2016-12-09T00:00:00Z","timestamp":1481241600000},"content-version":"unspecified","delay-in-days":8,"URL":"https:\/\/2.zoppoz.workers.dev:443\/https\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Appl. Probab."],"published-print":{"date-parts":[[2016,12]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>\nThis paper uses recent results on continuous-time finite-horizon optimal switching problems with negative switching costs to prove the existence of a saddle point in an optimal stopping (Dynkin) game. Sufficient conditions for the game's value to be continuous with respect to the time horizon are obtained using recent results on norm estimates for doubly reflected backward stochastic differential equations. This theory is then demonstrated numerically for the special cases of cancellable call and put options in a Black\u2012Scholes market.\n<\/jats:p>","DOI":"10.1017\/jpr.2016.57","type":"journal-article","created":{"date-parts":[[2016,12,9]],"date-time":"2016-12-09T14:33:13Z","timestamp":1481293993000},"page":"957-973","source":"Crossref","is-referenced-by-count":4,"title":["Solving finite time horizon Dynkin games by optimal switching"],"prefix":"10.1017","volume":"53","author":[{"given":"Randall","family":"Martyr","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2016,12,9]]},"reference":[{"key":"S0021900216000577_ref18","doi-asserted-by":"publisher","DOI":"10.2748\/tmj\/1178229202"},{"key":"S0021900216000577_ref14","doi-asserted-by":"crossref","first-page":"117","DOI":"10.1080\/17442500600976442","article-title":"Pricing Israeli options: a pathwise approach","volume":"79","author":"K\u00fchn","year":"2007","journal-title":"Stochastics"},{"key":"S0021900216000577_ref16","doi-asserted-by":"publisher","DOI":"10.1017\/apr.2016.30"},{"key":"S0021900216000577_ref21","volume-title":"Optimal Stopping and Free-Boundary Problems","author":"Peskir","year":"2006"},{"key":"S0021900216000577_ref22","doi-asserted-by":"publisher","DOI":"10.1214\/EJP.v18-2406"},{"key":"S0021900216000577_ref24","volume-title":"Diffusions, Markov Processes, and Martingales: It\u00f4 Calculus","author":"Rogers","year":"2000"},{"key":"S0021900216000577_ref13","doi-asserted-by":"crossref","first-page":"304","DOI":"10.1080\/17442508.2013.778860","article-title":"Dynkin games in a general framework","volume":"86","author":"Kobylanski","year":"2014","journal-title":"Stochastics"},{"key":"S0021900216000577_ref25","doi-asserted-by":"publisher","DOI":"10.1007\/s001860200178"},{"key":"S0021900216000577_ref4","doi-asserted-by":"publisher","DOI":"10.1214\/105051606000000204"},{"key":"S0021900216000577_ref20","doi-asserted-by":"publisher","DOI":"10.1137\/S0040585X97983821"},{"key":"S0021900216000577_ref1","doi-asserted-by":"publisher","DOI":"10.1137\/070697641"},{"key":"S0021900216000577_ref17","doi-asserted-by":"publisher","DOI":"10.1287\/moor.2016.0783"},{"key":"S0021900216000577_ref15","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-003-0104-5"},{"key":"S0021900216000577_ref5","first-page":"73","volume-title":"Ninth Saint Flour Probability Summer School\u20131979","author":"El Karoui","year":"1981"},{"key":"S0021900216000577_ref19","doi-asserted-by":"publisher","DOI":"10.1080\/17442508408833319"},{"key":"S0021900216000577_ref2","doi-asserted-by":"publisher","DOI":"10.1214\/16-EJP4568"},{"key":"S0021900216000577_ref8","doi-asserted-by":"publisher","DOI":"10.1214\/EJP.v11-303"},{"key":"S0021900216000577_ref7","doi-asserted-by":"publisher","DOI":"10.1137\/060669024"},{"key":"S0021900216000577_ref6","volume-title":"Monte Carlo Methods in Financial Engineering","author":"Glasserman","year":"2004"},{"key":"S0021900216000577_ref23","volume-title":"Diffusions, Markov Processes, and Martingales: Foundations","author":"Rogers","year":"2000"},{"key":"S0021900216000577_ref3","doi-asserted-by":"publisher","DOI":"10.1137\/060673916"},{"key":"S0021900216000577_ref12","doi-asserted-by":"publisher","DOI":"10.1214\/EJP.v17-2262"},{"key":"S0021900216000577_ref10","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-05265-5"},{"key":"S0021900216000577_ref11","doi-asserted-by":"publisher","DOI":"10.1007\/PL00013527"},{"key":"S0021900216000577_ref9","doi-asserted-by":"publisher","DOI":"10.1287\/moor.1060.0228"}],"container-title":["Journal of Applied Probability"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/2.zoppoz.workers.dev:443\/https\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0021900216000577","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,18]],"date-time":"2019-04-18T20:31:02Z","timestamp":1555619462000},"score":1,"resource":{"primary":{"URL":"https:\/\/2.zoppoz.workers.dev:443\/https\/www.cambridge.org\/core\/product\/identifier\/S0021900216000577\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2016,12]]},"references-count":25,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2016,12]]}},"alternative-id":["S0021900216000577"],"URL":"https:\/\/2.zoppoz.workers.dev:443\/https\/doi.org\/10.1017\/jpr.2016.57","relation":{},"ISSN":["0021-9002","1475-6072"],"issn-type":[{"value":"0021-9002","type":"print"},{"value":"1475-6072","type":"electronic"}],"subject":[],"published":{"date-parts":[[2016,12]]}}}