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Nash Equilibria for Game Contingent Claims with Utility-Based Hedging - MaRDI portal

Nash Equilibria for Game Contingent Claims with Utility-Based Hedging (Q4553299)

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scientific article; zbMATH DE number 6970811
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English
Nash Equilibria for Game Contingent Claims with Utility-Based Hedging
scientific article; zbMATH DE number 6970811

    Statements

    title
    Nash Equilibria for Game Contingent Claims with Utility-Based Hedging (English)
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    author
    Klebert Kentia
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    Christoph Kühn
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    publication date
    2 November 2018
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    zbMATH Keywords
    game contingent claims
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    incomplete markets
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    exponential utility indifference valuation
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    non-zero-sum Dynkin games
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    Nash equilibria
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    optimal stopping under nonlinear expectation
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    cites work
    Q3569912
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    Q4274285
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    Q4002114
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    Q4368791
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    Game options
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    Identifiers

    DOI
    10.1137/17M1141059;
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    Mathematics Subject Classification ID
    91G20
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    60G40
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    91A15
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    91A55
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    91B16
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    zbMATH DE Number
    6970811
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    arXiv ID
    1707.09351
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