Game contingent claims in complete and incomplete markets

DOI10.1016/J.JMATECO.2003.09.003MaRDI QIDQ705897zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3628142 (Why is no real title available?)
• scientific article; zbMATH DE number 1222796 (Why is no real title available?)
• scientific article; zbMATH DE number 852302 (Why is no real title available?)
• A Martingale Representation Result and an Application to Incomplete Financial Markets
• A Nonzero-Sum Extension of Dynkin's Stopping Problem
• Exponential Hedging and Entropic Penalties
• Game options
• Non-zero-sum discrete parameter stochastic games with stopping times
• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
• Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating
• Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
• Two-player nonzero-sum stopping games in discrete time.

Cited in

(14)

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

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