39 citations · 69 across the 9 of their papers we have counts for
4 papers · 1 filter
Dynkin ghost games with asymmetry and consolation
Erik Ekström, Yuqiong Wang
We study a stopping game of preemption type between two players who both act under uncertain competition. In this framework we introduce, and study the effect of, (i) asymmetry of…
Playing with ghosts in a Dynkin game
Tiziano De Angelis, Erik Ekström
We study a class of optimal stopping games (Dynkin games) of preemption type, with uncertainty about the existence of competitors. The set-up is well-suited to model, for example,…
Boundary conditions for the single-factor term structure equation
Erik Ekström, Johan Tysk
We study the term structure equation for single-factor models that predict nonnegative short rates. In particular, we show that the price of a bond or a bond option is the unique c…
Bubbles, convexity and the Black--Scholes equation
Erik Ekström, Johan Tysk
A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standa…