PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH

DOI10.1142/S0219198907001370zbMath1213.91154OpenAlexW2033750066MaRDI QIDQ3502817

Vassili N. Kolokol'tsov, Z. Hucki

Publication date: 20 May 2008

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

Full work available at URL: https://doi.org/10.1142/s0219198907001370

zbMATH Keywords

transaction costsinterval modelsubmodular functionscoloured (or rainbow) optionsexplicit formulas for hedge

Mathematics Subject Classification ID

Other game-theoretic models (91A40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Pricing geometric Asian rainbow options under fractional Brownian motion ⋮ Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory

Cites Work

• Unnamed Item
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• On submodular value functions and complex dynamic programming
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• A Robust Control Framework for Option Pricing
• Option pricing: A simplified approach
• Infinite Abelian Subgroups of Some Infinite Groups

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