The option game

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

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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Cited In (5)

• Title not available (Why is that?)
• GAME CALL OPTIONS REVISITED
• Properties of game options
• Differential game-theoretic thoughts on option pricing and transaction costs
• Strategic analysis of the competitive exercise of certain financial options

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