Strategic analysis of the competitive exercise of certain financial options

DOI10.1016/0022-0531(84)90078-4MaRDI QIDQ801784zbMATH OpenOpenAlexFDO

Authors George M. Constantinides, Robert W. Rosenthal

Publication date 1984

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-0531(84)90078-4

zbMATH Keywords

continuum of playersconvertible bondsexistence of Cournot-Nash equilibriafinancenonatomic gamesnoncooperative gameoptions pricingwarrants

Mathematics Subject Classification ID

Games with infinitely many players (91A07) Noncooperative games (91A10) Other game-theoretic models (91A40) Microeconomic theory (price theory and economic markets) (91B24) Trade models (91B60)

Review text

In this paper, the authors apply to the theory of options pricing results of \textit{D. Schmeidler} [J. Stat. Phys. 1973, 295-300 (1973)] on the existence of Cournot-Nash equilibria in nonatomic games. The authors also consider situations when one individual controls the exercise of all the claims but is constrained to exercise them in one block.

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Cites work

• Equilibrium points of nonatomic games
• The pricing of options and corporate liabilities

Cited in

(8)

• Anonymous sequential games
• On the existence of pure strategy equilibria in games with a continuum of players
• A game theory analysis of options. Corporate finance and financial intermediation in continuous time. With a forword by Heinz Zimmermann
• Equilibrium exercise of European warrants
• Strategic disclosure of feasible options
• EMPIRICAL EXERCISE BEHAVIOR OF WARRANT HOLDERS AND ITS CONSEQUENCES FOR WARRANT VALUES
• Optimal exercise strategies for corporate warrants
• The option game

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