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Randomized stopping times and American option pricing with transaction costs
Chalasani, Prasad; Jha, Somesh - In: Mathematical finance : an international journal of … 11 (2001) 1, pp. 33-77
Persistent link: https://www.econbiz.de/10001650918
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Game options
Kifer, Yuri - In: Finance and stochastics 4 (2000) 4, pp. 443-463
Persistent link: https://www.econbiz.de/10001539201
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Game Options
Sebehela, Tumellano - 2019
using game theory. Results illustrate embedded dynamism of option values linked to game strategies …
Persistent link: https://www.econbiz.de/10012905181
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Ambiguity in a real option game
Hellmann, Tobias; Thijssen, Jacco J. J. - 2015
In this paper we study a two-player investment game with a first mover advantage in continuous time with stochastic payoffs, driven by a geometric Brownian motion. One of the players is assumed to be ambiguous with maxmin preferences over a strongly rectangular set of priors. We develop a...
Persistent link: https://www.econbiz.de/10010468336
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Game option models of convertible bonds : determinants of call policies
Kwok, Yue-Kuen - In: Journal of financial engineering 1 (2014) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10010507972
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Preemptive investment game with alternative projects
Nishihara, Michi - In: Economic modelling 43 (2014), pp. 124-135
Persistent link: https://www.econbiz.de/10010502204
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Path-dependent game options : a lookback case
Guo, Peidong; Chen, Qihong; Guo, Xicai; Fang, Yue - In: Review of derivatives research 17 (2014) 1, pp. 113-124
Persistent link: https://www.econbiz.de/10010519293
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Real options with competition and regime switching
Bensoussan, Alain; Hoe, SingRu; Yan, Zhongfeng; Yin, George - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 224-250
Persistent link: https://www.econbiz.de/10011739453
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Fear of the market or fear of the competitor? : ambiguity in a real options game
Hellmann, Tobias; Thijssen, Jacco J. J. - In: Operations research 66 (2018) 6, pp. 1744-1759
Persistent link: https://www.econbiz.de/10011972267
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The Dynkin game with regime switching and applications to pricing game options
Lv, Siyu; Wu, Zhen; Zhang, Qing - In: Risk management decisions and value under uncertainty, (pp. 1159-1182). 2022
Persistent link: https://www.econbiz.de/10013342097