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

We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In constrast with previous MG, the best strategies are not always targeting the minority but are shifting…

A master equation approach to the numerical solution of option pricing models is developed. The basic idea of the approach is to consider the Black--Scholes equation as the macroscopic equation of an underlying mesoscopic stochastic option…

In this paper we introduce and study {\em all-pay bidding games}, a class of two player, zero-sum games on graphs. The game proceeds as follows. We place a token on some vertex in the graph and assign budgets to the two players. Each turn,…

We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…

We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic…

We study the problem of online dynamic pricing with two types of fairness constraints: a "procedural fairness" which requires the proposed prices to be equal in expectation among different groups, and a "substantive fairness" which requires…

I study the optimal pricing process for selling a unit good to a buyer with prospect theory preferences. In the presence of probability weighting, the buyer is dynamically inconsistent and can be either sophisticated or naive about her own…

We consider a generic market model with a single stock and with random volatility. We assume that there is a number of tradable options for that stock with different strike prices. The paper states the problem of finding a pricing rule that…

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 constraints that optimal solutions need to satisfy, and…

G-expectation, as a sublinear expectation, provides a powerful framework for modeling uncertainty in financial markets. Motivated by the need for robust valuation under model uncertainty, this work develops a unified risk-neutral valuation…

The paper summarizes key results of the benchmark approach with a focus on the concept of benchmark-neutral pricing. It applies these results to the pricing of an extreme-maturity European put option on a well-diversified stock index. The…

This paper gives yet another definition of game-theoretic probability in the context of continuous-time idealized financial markets. Without making any probabilistic assumptions (but assuming positive and continuous price paths), we obtain…

We continue the analysis of quantum-like description of markets and economics. The approach has roots in the recently developed quantum game theory and quantum computing. The present paper is devoted to quantum English auction which are a…

We characterize the optimal reward functions (scoring rules) that incentivize an agent to acquire information and report it truthfully to the principal. The optimal scoring rules let the agent make a simple binary bet in single-dimensional…

We propose a logical framework combining a game-theoretic study of abilities of agents to achieve quantitative objectives in multi-player games by optimizing payoffs or preferences on outcomes with a logical analysis of the abilities of…

In games with a large number of players where players may have overlapping objectives, the analysis of stable outcomes typically depends on player types. A special case is when a large part of the player population consists of imitation…

Stochastic games are an important class of problems that generalize Markov decision processes to game theoretic scenarios. We consider finite state two-player zero-sum stochastic games over an infinite time horizon with discounted rewards.…

The effectiveness of advertising in e-commerce largely depends on the ability of merchants to bid on and win impressions for their targeted users. The bidding procedure is highly complex due to various factors such as market competition,…

We consider the fundamental problem of selecting $k$ out of $n$ random variables in a way that the expected highest or second-highest value is maximized. This question captures several applications where we have uncertainty about the…

Bidding chess is a chess variant where instead of alternating play, players bid for the opportunity to move. Generalizing a known result on so-called Richman games, we show that for a natural class of games including bidding chess, each…