Game contingent claims in complete and incomplete markets

DOI10.1016/J.JMATECO.2003.09.003zbMATH Open1117.91039OpenAlexW1986597272MaRDI QIDQ705897FDOQ705897

Authors: Christoph Kühn 

Publication date: 16 February 2005

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2003.09.003

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zbMATH Keywords

optimal stoppingIncomplete marketsHedgingNon-zero-sum game

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Games of timing (91A55)

Cites Work

• Two-player nonzero-sum stopping games in discrete time.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Exponential Hedging and Entropic Penalties
• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
• Game options
• A Nonzero-Sum Extension of Dynkin's Stopping Problem
• Title not available (Why is that?)
• Non-zero-sum discrete parameter stochastic games with stopping times
• Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
• Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating
• A Martingale Representation Result and an Application to Incomplete Financial Markets

Cited In (14)

• PERPETUAL CANCELLABLE AMERICAN CALL OPTION
• The pricing and optimal strategies of callable warrants
• The multi-player nonzero-sum Dynkin game in discrete time
• Perpetual game options with a multiplied penalty
• Nonzero-sum games of optimal stopping for Markov processes
• GAME CALL OPTIONS REVISITED
• Option pricing in discrete-time incomplete market models
• Dynkin's games and Israeli options
• Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets
• Market completeness: A return to order
• Arbitrage-free pricing of multi-person game claims in discrete time
• ATTAINABLE CLAIMS IN A MARKOV MARKET
• Uncertainty aversion and theory of incomplete contract
• Nash equilibria for game contingent claims with utility-based hedging

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