Game contingent claims in complete and incomplete markets

DOI10.1016/j.jmateco.2003.09.003zbMath1117.91039OpenAlexW1986597272MaRDI QIDQ705897

Christoph Kühn

Publication date: 16 February 2005

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2003.09.003

zbMATH Keywords

Hedgingoptimal stoppingIncomplete marketsNon-zero-sum game

Mathematics Subject Classification ID

Related Items (8)

Nash Equilibria for Game Contingent Claims with Utility-Based Hedging ⋮ Perpetual game options with a multiplied penalty ⋮ Dynkin's games and Israeli options ⋮ The multi-player nonzero-sum Dynkin game in discrete time ⋮ GAME CALL OPTIONS REVISITED ⋮ PERPETUAL CANCELLABLE AMERICAN CALL OPTION ⋮ The pricing and optimal strategies of callable warrants ⋮ Nonzero-sum games of optimal stopping for Markov processes

Cites Work

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• Non-zero-sum discrete parameter stochastic games with stopping times
• Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
• Two-player nonzero-sum stopping games in discrete time.
• A Nonzero-Sum Extension of Dynkin's Stopping Problem
• Optimal Stopping in Sequential Games With or Without a Constraint of Always Terminating
• A Martingale Representation Result and an Application to Incomplete Financial Markets
• Exponential Hedging and Entropic Penalties
• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
• Game options

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