Strategic analysis of the competitive exercise of certain financial options
type: Item
instance of: scholarly article
title: Strategic analysis of the competitive exercise of certain financial options
zbMATH Open document ID: 0552.90008
DOI: 10.1016/0022-0531(84)90078-4
author: George M. Constantinides
author: Robert W. Rosenthal
published in: Journal of Economic Theory
publication date: 1984-01-01T00:00:00Z
review text: In this paper, the authors apply to the theory of options pricing results of \textit{D. Schmeidler} [J. Stat. Phys. 1973, 295-300 (1973)] on the existence of Cournot-Nash equilibria in nonatomic games. The authors also consider situations when ''one individual controls the exercise of all the claims but is constrained to exercise them in one block.''
reviewed by: M.A.Khan
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91A40
Mathematics Subject Classification ID: 91A10
Mathematics Subject Classification ID: 91B60
Mathematics Subject Classification ID: 91A07
zbMATH DE Number: 3880381
zbMATH Keywords: finance
zbMATH Keywords: warrants
zbMATH Keywords: convertible bonds
zbMATH Keywords: noncooperative game
zbMATH Keywords: continuum of players
zbMATH Keywords: options pricing
zbMATH Keywords: existence of Cournot-Nash equilibria
zbMATH Keywords: nonatomic games
MaRDI profile type: Publication
full work available at URL: 0022-0531(84)90078-4
OpenAlex ID: W2017269145
cites work: The pricing of options and corporate liabilities
cites work: Equilibrium points of nonatomic games
description: scientific article; zbMATH DE number 3880381