Game contingent claims in complete and incomplete markets
type: Item
instance of: scholarly article
title: Game contingent claims in complete and incomplete markets
zbMATH Open document ID: 1117.91039
author: Christoph Kühn
published in: Journal of Mathematical Economics
publication date: 2005-02-16T00:00:00Z
review text: The author developed game contingent in complete and incomplete markets. The interpretation of contract as a generalised non-zero-sum stopping game is developed. Number of theorems are developed for theoretical foundation. No numerical experiments are illustrated.
reviewed by: Prabhat Kumar Mahanti
Mathematics Subject Classification ID: 91B40
Mathematics Subject Classification ID: 91A55
Mathematics Subject Classification ID: 91B26
zbMATH DE Number: 2134351
zbMATH Keywords: Incomplete markets
zbMATH Keywords: Hedging
zbMATH Keywords: optimal stopping
zbMATH Keywords: Non-zero-sum game
MaRDI profile type: Publication
full work available at URL: j.jmateco.2003.09.003
OpenAlex ID: W1986597272
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DOI: 10.1016/J.JMATECO.2003.09.003
description: scientific article; zbMATH DE number 2134351