Related papers: Game pricing and double sequence of random variabl…
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…
Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has the right to cancel the option gradually at a mixed (or…
We examine perfect information stochastic mean-payoff games - a class of games containing as special sub-classes the usual mean-payoff games and parity games. We show that deterministic memoryless strategies that are optimal for discounted…
We study pricing and superhedging strategies for game options in an imperfect market with default. We extend the results obtained by Kifer in \cite{Kifer} in the case of a perfect market model to the case of an imperfect market with…
Many online companies sell advertisement space in second-price auctions with reserve. In this paper, we develop a probabilistic method to learn a profitable strategy to set the reserve price. We use historical auction data with features to…
We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock price process satisfies the conditional full support…
We study how individuals trade off outcome ("what") and process ("how") utility in high-stakes strategic decisions, namely professional tennis. Using optimality conditions and the second-service rule, we derive a sufficient condition for…
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete markets both from the seller and the buyer points of view.
With the vast amount of data collected on football and the growth of computing abilities, many games involving decision choices can be optimized. The underlying rule is the maximization of an expected utility of outcomes and the law of…
We consider the problem of optimal investment with random endowment in a Black--Scholes market for an agent with constant relative risk aversion. Using duality arguments, we derive an explicit expression for the optimal trading strategy,…
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…
We present a robust framework with computational algorithms to support decision makers in sequential games. Our framework includes methods to solve games with complete information, assess the robustness of such solutions and, finally,…
We present a novel method for the numerical pricing of American options based on Monte Carlo simulation and the optimization of exercise strategies. Previous solutions to this problem either explicitly or implicitly determine so-called…
Option contracts can be valued by using the Black-Scholes equation, a partial differential equation with initial conditions. An exact solution for European style options is known. The computation time and the error need to be minimized…
In this paper we present a novel approach to optimise tactical and strategic decision making in football (soccer). We model the game of football as a multi-stage game which is made up from a Bayesian game to model the pre-match decisions…
We proposed a two-step Longstaff Schwartz Monte Carlo (LSMC) method with two regression models fitted at each time step to price game options. Although the original LSMC can be used to price game options with an enlarged range of path in…
Evolutionary game theory classically investigates which behavioral patterns are evolutionarily successful in a single game. More recently, a number of contributions have studied the evolution of preferences instead: which subjective…
We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option (see Kifer (2000)) to a contract in which an arbitrary number of parties is involved and each of them is allowed to…
Traditionally quantitative games such as mean-payoff games and discount sum games have two players -- one trying to maximize the payoff, the other trying to minimize it. The associated decision problem, "Can Eve (the maximizer) achieve, for…
We investigate the problem of gambling with uncertainty in outcome probabilities. Stochastic optimization models are proposed for optimal investing on events with mutually exclusive outcomes when probabilities are estimated using…