The option game

DOI10.1007/S10598-021-09507-0zbMATH Open1460.91273OpenAlexW3127070085MaRDI QIDQ830996FDOQ830996

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

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zbMATH Keywords

saddle pointzero-sum gameoptionbest response function

Mathematics Subject Classification ID

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

Cites Work

• The pricing of options and corporate liabilities
• Martingale methods in problems on boundary intersections of Brownian motions
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• Tug-of-war, market manipulation and option pricing
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• GAME CALL OPTIONS REVISITED
• Properties of game options
• Bottom-up design of strategic options as finite automata
• Solving an option game problem with finite expiration: optimizing terms of patent license agreements
• Differential game-theoretic thoughts on option pricing and transaction costs
• Strategic analysis of the competitive exercise of certain financial options

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