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We consider Stackelberg pricing games, which are also known as bilevel pricing problems, or combinatorial price-setting problems. This family of problems consists of games between two players: the leader and the follower. There is a market…
The Black-Scholes option pricing model remains a cornerstone in financial mathematics, yet its application is often challenged by the need for accurate hedging strategies, especially in dynamic market environments. This paper presents a…
This paper develops a novel econometric framework for static discrete choice games with costly information acquisition. In traditional discrete games, players are assumed to perfectly know their own payoffs when making decisions, ignoring…
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, different and more realistic pay-off functions, and negative…
The purpose of this paper is to analyze the problem of option pricing when the short rate follows subdiffusive fractional Merton model. We incorporate the stochastic nature of the short rate in our option valuation model and derive explicit…
We establish an explicit approximation formula for European put option prices within a general stochastic volatility model with time-dependent parameters. Our methodology is based on expansions of the mixing representation of the put option…
In a probabilistic mean field game driven by a L\'evy process an individual player aims to minimize a long run discounted/ergodic cost by controlling the process through a pair of increasing and decreasing c\`adl\`ag processes, while he is…
In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and…
We present a numerical approach for solving the free boundary problem for the Black-Scholes equation for pricing American style of floating strike Asian options. A fixed domain transformation of the free boundary problem into a parabolic…
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…
This paper introduces alignment games, a new class of zero-sum games modeling strategic interventions where effectiveness depends on alignment with an underlying hidden state. Motivated by operational problems in medical diagnostics,…
In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes model. We provide a general early exercise premium…
Optimal pricing of European call option is described by linear stochastic differential equation. Trading strategy given by a twin of stochastic variables was integrated w.r.t. Black-Scholes formula to adopt optimal pricing to tarading…
In this paper we present a MATLAB version of a non-standard finite difference scheme for the numerical solution of the perpetual American put option models of financial markets. These models can be derived from the celebrated Black-Scholes…
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete…
Zero-determinant strategies are memory-one strategies in repeated games which unilaterally enforce linear relations between expected payoffs of players. Recently, the concept of zero-determinant strategies was extended to the class of…
A new class of multi-player competitive stochastic games in discrete-time with an affine specification of the redistribution of payoffs at exercise is proposed and examined. Our games cover as a very special case the classic two-person…
We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model where sellers control the intensity of a counting process,…
We study stochastic two-player turn-based games in which the objective of one player is to ensure several infinite-horizon total reward objectives, while the other player attempts to spoil at least one of the objectives. The games have…