Game theoretic analysis of incomplete markets: emergence of probabilities, nonlinear and fractional Black–Scholes equations
نویسندگان
چکیده
منابع مشابه
Game theoretic analysis of incomplete markets: emergence of probabilities, nonlinear and fractional Black-Scholes equations
Expanding the ideas of the author’s paper ’Nonexpansive maps and option pricing theory’ (Kibernetica, 34:6, 1998, 713-724) we develop a pure game-theoretic approach to option pricing, by-passing stochastic modeling. Risk neutral probabilities emerge automatically from the robust control evaluation. This approach seems to be especially appealing for incomplete markets encompassing extensive, so ...
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ژورنال
عنوان ژورنال: Risk and Decision Analysis
سال: 2013
ISSN: 1569-7371
DOI: 10.3233/rda-2011-0062