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State-price densities under heterogeneous beliefs, the smile effect, and implied risk aversion

Ziegler, Alexandre - In: European economic review : EER 46 (2002) 8, pp. 1539-1557

Persistent link: https://www.econbiz.de/10001705090

When are retail stores preferable to auctions?

Ziegler, Alexandre - 2002

Persistent link: https://www.econbiz.de/10001705390

Dividend growth uncertainty and stock prices

Ziegler, Alexandre - In: Swiss journal of economics and statistics 137 (2001) 4, pp. 579-598

Persistent link: https://www.econbiz.de/10001633816

Why does implied risk aversion smile?

Ziegler, Alexandre - 2002

Persistent link: https://www.econbiz.de/10001683044

Optimal portfolio choice under heterogeneous beliefs

Ziegler, Alexandre - In: European finance review : the official journal of the … 4 (2000) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10001581010

A game theory analysis of options : corporate finance and financial intermediation in continuous time

Ziegler, Alexandre - 2004 - 2. ed.

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....