Related papers: Game pricing and double sequence of random variabl…
Priced timed games are two-player zero-sum games played on priced timed automata (whose locations and transitions are labeled by weights modelling the cost of spending time in a state and executing an action, respectively). The goals of the…
A version of indifference valuation of a European call option is proposed that includes statistical regularities of nonstochastic randomness. Classical relations (forward contract value and Black-Scholes formula) are obtained as particular…
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…
In this paper, we consider zero-sum repeated games in which the maximizer is restricted to strategies requiring no more than a limited amount of randomness. Particularly, we analyze the maxmin payoff of the maximizer in two models: the…
This paper introduces a novel methodology for the pricing and management of share buyback contracts, overcoming the limitations of traditional optimal control methods, which frequently encounter difficulties with high-dimensional state…
This paper studies a duopoly investment model with uncertainty. There are two alternative irreversible investments. The first firm to invest gets a monopoly benefit for a specified period of time. The second firm to invest gets information…
We consider infinite dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the super-replication cost.…
Options have provided a field of much study because of the complexity involved in pricing them. The Black-Scholes equations were developed to price options but they are only valid for European styled options. There is added complexity when…
We study two-player general sum repeated finite games where the rewards of each player are generated from an unknown distribution. Our aim is to find the egalitarian bargaining solution (EBS) for the repeated game, which can lead to much…
The outputs of win probability models are often used to evaluate player actions. However, in some sports, such as the popular esport Counter-Strike, there exist important team-level decisions. For example, at the beginning of each round in…
Some expansion methods have been proposed for approximately pricing options which has no exact closed formula. Benhamou et al. (2010) presents the smart expansion method that directly expands the expectation value of payoff function with…
We define and study a lending game to model the interbank money market, in which lending banks strategically allocate their cash to borrowing banks. The interest rate offered by each borrowing bank is within the interest rate corridor set…
This paper explores multi-entry strategies for betting pools related to single-elimination tournaments. In such betting pools, participants select winners of games, and their respective score is a weighted sum of the number of correct…
While discounted payoff games and classic games that reduce to them, like parity and mean-payoff games, are symmetric, their solutions are not. We have taken a fresh view on the properties that optimal solutions need to have, and devised a…
The aim of this article is to propose a core game theory model of transaction costs wherein it is indicated how direct costs determine the probability of loss and subsequent transaction costs. The existence of optimum is proven, and the way…
We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle. This approach is based on the theory of optimal strategy in…
A competitive market is modeled as a game of incomplete information. One player observes some payoff-relevant state and can sell (possibly noisy) messages thereof to the other, whose willingness to pay is contingent on their own beliefs. We…
For an exponential utility maximizing investment strategy in a Black-Scholes Setting, fixed upper and lower constraints are introduced on the terminal wealth. This is equivalent to combining the optimal strategy with options. The resulting…
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimensional dynamics of the moving average…
We present a deterministic algorithm, solving discounted games with $n$ nodes in $n^{O(1)}\cdot (2 + \sqrt{2})^n$-time. For bipartite discounted games our algorithm runs in $n^{O(1)}\cdot 2^n$-time. Prior to our work no deterministic…