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Titel
Game options under Knightian uncertainty in discrete time / Bodo Rubbenstroth
VerfasserRubbenstroth, Bodo
ErschienenBielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University, June 2019
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Elektronische Ressource
Umfang1 Online-Ressource (27 Seiten)
SerieCenter for Mathematical Economics Working papers ; 619
URNurn:nbn:de:hbz:6:2-121895 
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Game options under Knightian uncertainty in discrete time [0.24 mb]
Zusammenfassung

This paper studies two player stopping games in a discrete time multiple prior framework with a finite time horizon. Optimal stopping times as well as recursive formulas for the value processes of the games are derived. These results are used to characterize the set of no-arbitrage prices for a game option. The notion of a no-arbitrage price for a game option is based on the idea to consider the payoff for fixed stopping times as an European option.

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