DIFFERENTIAL GAME-THEORETIC THOUGHTS ON OPTION PRICING AND TRANSACTION COSTS

DOI10.1142/S0219198900000135zbMath0983.91014MaRDI QIDQ2701834

Geert Jan Olsder

Publication date: 23 April 2002

Published in: International Game Theory Review (Search for Journal in Brave)

zbMATH Keywords

transaction costsPontryagin maximum principlezero-sum differential gamecall optionfair pricenonzero-sum game with three playersStackelberg information

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Phenomena in inverse Stackelberg games. II: Dynamic problems ⋮ Phenomena in inverse Stackelberg games. I: Static problems ⋮ Sustainability of information security investment in online social networks: an evolutionary game-theoretic approach ⋮ Almost sure properties of controlled diffusions and worst case properties of deterministic systems

Cites Work

• There is no nontrivial hedging portfolio for option pricing with transaction costs
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• A Stochastic Control Approach to the Pricing of Options
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• Optimal Control of Inflation: A Central Bank Problem
• A Survey of the Maximum Principles for Optimal Control Problems with State Constraints
• On an Investment-Consumption Model with Transaction Costs

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