The option game

DOI10.1007/S10598-021-09507-0MaRDI QIDQ830996zbMATH OpenOpenAlexFDO

Authors V. V. Morozov

Publication date 10 May 2021

Published in Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10598-021-09507-0

zbMATH Keywords

best response functionoptionsaddle pointzero-sum game

Mathematics Subject Classification ID

Other game-theoretic models (91A40) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Game options
• The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
• A game theory analysis of options. Contributions to the theory of financial intermediation in continuous time
• Strategic analysis of the competitive exercise of certain financial options
• Differential game-theoretic thoughts on option pricing and transaction costs

Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3187993 (Why is no real title available?)
• Martingale methods in problems on boundary intersections of Brownian motions
• The pricing of options and corporate liabilities

Cited in

(8)

• Differential game-theoretic thoughts on option pricing and transaction costs
• Solving an option game problem with finite expiration: optimizing terms of patent license agreements
• GAME CALL OPTIONS REVISITED
• scientific article; zbMATH DE number 6468931 (Why is no real title available?)
• Bottom-up design of strategic options as finite automata
• Tug-of-war, market manipulation and option pricing
• Strategic analysis of the competitive exercise of certain financial options
• Properties of game options

This page was built for publication: The option game

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q830996)