Game contingent claims in complete and incomplete markets (Q705897)
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scientific article; zbMATH DE number 2134351
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| English | Game contingent claims in complete and incomplete markets |
scientific article; zbMATH DE number 2134351 |
Statements
Game contingent claims in complete and incomplete markets (English)
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16 February 2005
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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.
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Incomplete markets
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Hedging
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optimal stopping
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Non-zero-sum game
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0.7483517527580261
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0.7025776505470276
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0.6997279524803162
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0.6917393803596497
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