Game contingent claims in complete and incomplete markets (Q705897): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.jmateco.2003.09.003 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1986597272 / rank | |||
Normal rank | |||
Revision as of 19:14, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Game contingent claims in complete and incomplete markets |
scientific article |
Statements
Game contingent claims in complete and incomplete markets (English)
0 references
16 February 2005
0 references
The author developed game contingent in complete and incomplete markets. The interpretation of contract as a generalised non-zero-sum stopping game is developed. Number of theorems are developed for theoretical foundation. No numerical experiments are illustrated.
0 references
Incomplete markets
0 references
Hedging
0 references
optimal stopping
0 references
Non-zero-sum game
0 references
