Nash Equilibria for Game Contingent Claims with Utility-Based Hedging

DOI10.1137/17M1141059;zbMath1417.91505arXiv1707.09351MaRDI QIDQ4553299

Klebert Kentia, Christoph Kühn

Publication date: 2 November 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.09351

zbMATH Keywords

Nash equilibriaincomplete marketsgame contingent claimsexponential utility indifference valuationnon-zero-sum Dynkin gamesoptimal stopping under nonlinear expectation

Mathematics Subject Classification ID

Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20) Games of timing (91A55)

Related Items (3)

A theory approach towards tradable rail freight option ⋮ Stackelberg game model of railway freight pricing based on option theory ⋮ Mechanics of good trade execution in the framework of linear temporary market impact

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