Related papers: Game pricing and double sequence of random variabl…

What are the prices of random variables? In this paper, we define the least-squares prices of coin-flipping games, which are proved to be minimal, positive linear, and arbitrage-free. These prices depend both on a set of games that are…

This paper introduces a new class of Dynkin games, where the two players are allowed to make their stopping decisions at a sequence of exogenous Poisson arrival times. The value function and the associated optimal stopping strategy are…

In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treat as the variables of the optimization…

In this paper we extend Buchen's method to develop a new technique for pricing of some exotic options with several expiry dates(more than 3 expiry dates) using a concept of higher order binary option. At first we introduce the concept of…

We consider graph games of infinite duration with winning conditions in parameterized linear temporal logic, where the temporal operators are equipped with variables for time bounds. In model checking such specifications were introduced as…

Quantitative games are two-player zero-sum games played on directed weighted graphs. Total-payoff games (that can be seen as a refinement of the well-studied mean-payoff games) are the variant where the payoff of a play is computed as the…

The approach that allows find European option price on the assumption of hedging at discrete times is proposed. The routine allows find the option price not for lognormal distribution functions of underlying asset only but for wide enough…

We consider a two-player zero-sum game with integral payoff and with incomplete information on one side, where the payoff is chosen among a continuous set of possible payoffs. We prove that the value function of this game is solution of an…

In an all-pay auction, only one bidder wins but all bidders must pay the auctioneer. All-pay bidding games arise from attaching a similar bidding structure to traditional combinatorial games to determine which player moves next. In contrast…

We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a solution to the stationary generalized Black-Scholes equation…

In this paper, we navigate the intricate domain of reviewer rewards in open-access academic publishing, leveraging the precision of mathematics and the strategic acumen of game theory. We conceptualize the prevailing voucher-based reviewer…

We introduce quantitative reductions, a novel technique for structuring the space of quantitative games and solving them that does not rely on a reduction to qualitative games. We show that such reductions exhibit the same desirable…

We determine the optimal strategy for investing in a Black-Scholes market in order to maximize the probability that wealth at death meets a bequest goal $b$, a type of goal-seeking problem, as pioneered by Dubins and Savage (1965, 1976).…

We consider games of chance played by someone with external capital that cannot be applied to the game and determine how this affects risk-adjusted optimal betting. Specifically, we focus on Kelly optimization as a metric, optimizing the…

We describe human-subject laboratory experiments on probabilistic auctions based on previously proposed auction protocols involving the simulated manipulation and communication of quantum states. These auctions are probabilistic in…

We introduce a "high probability" framework for repeated games with incomplete information. In our non-equilibrium setting, players aim to guarantee a certain payoff with high probability, rather than in expected value. We provide a high…

We propose a novel method to find Nash equilibria in games with binary decision variables by including compensation payments and incentive-compatibility constraints from non-cooperative game theory directly into an optimization framework in…

We introduce a class of extensive form games where players might not be able to foresee the possible consequences of their decisions and form a model of their opponents which they exploit to achieve a more profitable outcome. We improve…

We study an optimal execution problem in the infinite horizon setup. Our financial market is given by the Black-Scholes model with a linear price impact. The main novelty of the current note is that we study the constrained case where the…

In classical game theory, optimal strategies are determined for games with complete information; this requires knowledge of the opponent's goals. We analyze games when a player is mistaken about their opponents goals. For definitiveness, we…