Sökning: "non-zero-sum games"

Hittade 1 uppsats innehållade orden non-zero-sum games.

  1. 1. Game contingent claims

    Magister-uppsats, KTH/Matematisk statistik

    Författare :Daniel Eliasson; [2012]
    Nyckelord :Game contingent claims; game options; Israeli options; Dynkin games; zero-sum games; non-zero-sum games; Monte-Carlo simulation; pricing;

    Sammanfattning : AbstractGame contingent claims (GCCs), as introduced by Kifer (2000), are a generalization of American contingent claims where the writer has the opportunity to terminate the contract, and must then pay the intrinsic option value plus a penalty. In complete markets, GCCs are priced using no-arbitrage arguments as the value of a zero-sum stochastic game of the type described in Dynkin (1969). LÄS MER