A Game Theory Analysis of Options
Editorial Reviews
Book Description
This book shows how to combine game theory and option pricing in order to analyze dynamic multiperson decision problems in continuous time and under uncertainty. The basic intuition of the method is to separate the problem of the valuation of payoffs from the analysis of strategic interactions. Whereas the former is to be handled using option pricing, the latter can be addressed by game theory. The text shows how both instruments can be combined and how game theory can be applied to complex problems of corporate finance and financial intermediation. Besides providing theoretical foundations and serving as a guide to stochastic game theory modelling in continuous time, the text contains numerous applications to the theory of corporate finance and financial intermediation, such as the design of debt contracts, capital structure choice, the structure of banking deposit contracts, and the incentive effects of deposit insurance. By combining arbitrage-free valuation techniques with strategic analysis, the game theory analysis of options actually provides the link between markets and organizations.
Book Info
Discusses Game Theory, and von Newmann's 1928 proof of the minimax theorem. Presents a method combining instruments of economic theory to facilitate the analysis of dynamic multiperson decision problems. Softcover. DLC: Options (Finance)--Prices--Mathematical models.
--This text refers to an out of print or unavailable edition of this title.
A Game Theory Analysis of Options,Alexandre Ziegler,Springer,354020668X,Business & Economics,Business / Economics / Finance,Business/Economics,Economics - General,Economics - Theory,Finance,Game Theory,Business & Economics / Finance
English Books:
Recommended Books