Hedging game contingent claims

zbMATH Open1199.91222MaRDI QIDQ3404673FDOQ3404673

Authors: Lei Wang, Zhi Ming Jin 

Publication date: 12 February 2010

Recommendations

• Hedging game contingent claims with constrained portfolios
• Nash equilibria for game contingent claims with utility-based hedging
• Hedging with risk for game options in discrete time
• Game options
• On shortfall risk minimization for game options

zbMATH Keywords

contingent claimshedginggame option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Local time and additive functionals (60J55)

Cited In (6)

• Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity
• On shortfall risk minimization for game options
• Arbitrage-free pricing of multi-person game claims in discrete time
• Hedging game contingent claims with constrained portfolios
• Game options
• Nash equilibria for game contingent claims with utility-based hedging

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