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A game theory analysis of options : contributions to the theory of financial intermediation in continuous time



Autor: Ziegler, Alexandre
Rok: c1999
ISBN: 9783540656289
OKCZID: 110173642

Citace (dle ČSN ISO 690):
ZIEGLER, Alexandre. A game theory analysis of options: contributions to the theory of financial intermediation in continuous time. Berlin: Springer, c1999. xiv, 145 s. Lecture notes in economics and mathematical systems, 468.


Anotace

 

This book presents a method that combines game theory and option pricing in order to analyze dynamic multiperson decision problems in continuous time and under uncertainty. The basic intuition of the method is to separate the problem of the valuation of payoffs from the analysis of strategic interactions. Whereas the former is to be handled using option pricing, the latter can be addressed by game theory. The text shows how both instruments can be combined and how game theory can be applied to complex problems of corporate finance and financial intermediation. Besides providing theoretical foundations and serving as a guide to stochastic game theory modeling in continuous time, the text contains numerous examples from the theory of corporate finance and financial intermediation. By combining arbitrage-free valuation techniques with strategic analysis, the game theory analysis of options actually provides the link between markets and organizations.


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