Pricing derivatives of American and game type in incomplete markets

Pricing Derivatives of American and Game Type in Incomplete Markets

Pricing decisions for complementary products of competitive supply chains

This study considers pricing, production and transportation decisions in a Stackelberg game between three-stage, multi-product, multi-source and single-period supply chains called leader and follower. These chains consist of; manufacturers, distribution centers (DCs) and retailers. Competition type is horizontal and SC vs. SC. The retailers in two chains try to maximize their profit through pri...

Development of Reinforcement Learning Algorithm to Study the Capacity Withholding in Electricity Energy Markets

This paper addresses the possibility of capacity withholding by energy producers, who seek to increase the market price and their own profits. The energy market is simulated as an iterative game, where each state game corresponds to an hourly energy auction with uniform pricing mechanism. The producers are modeled as agents that interact with their environment through reinforcement learning (RL...

Stock Futures Pricing Based on the Minimal Martingale Measure In Discrete-time Incomplete Markets

The increasing interest in financial innovation of enterprises has heightened the need for the knowledge of accurate pricing for derivatives in actual discrete-time incomplete market, especially for futures, the most actively traded derivatives in China. Nevertheless, even contingent claim pricing in such markets have few previous researches concentrated on, quite apart from futures. This paper...

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 ...