Arbitrage-free pricing of multi-person game claims in discrete time
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Publication:503392
DOI10.1007/s00780-016-0315-1zbMath1414.91374arXiv1405.2718OpenAlexW2550767827MaRDI QIDQ503392
Publication date: 12 January 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.2718
Martingales with discrete parameter (60G42) (n)-person games, (n>2) (91A06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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