Related papers: Least-Squares Prices of Games

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…

Faced with a sequence of N binary events, such as coin flips (or Ising spins), it is natural to ask whether these events reflect some underlying dynamic signals or are just random. Plausible models for the dynamics of hidden biases lead to…

Given a set of alternatives to be ranked, and some pairwise comparison data, ranking is a least squares computation on a graph. The vertices are the alternatives, and the edge values comprise the comparison data. The basic idea is very…

Simple stochastic games are two-player zero-sum stochastic games with turn-based moves, perfect information, and reachability winning conditions. We present two new algorithms computing the values of simple stochastic games. Both of them…

The goal of this work is to study binary market models with transaction costs, and to characterize their arbitrage opportunities. It has been already shown that the absence of arbitrage is related to the existence of \lambda-consistent…

In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…

Expanding the ideas of the author's paper 'Nonexpansive maps and option pricing theory' (Kibernetica 34:6 (1998), 713-724) we develop a pure game-theoretic approach to option pricing, by-passing stochastic modeling. Risk neutral…

A sequence of spin-1/2 particles polarised in one of two possible directions is presented to an experimenter, who can wager in a double-or-nothing game on the outcomes of measurements in freely chosen polarisation directions. Wealth is…

In the present paper, we consider a class of two players infinite horizon differential games, with piecewise smooth costs exponentially discounted in time. Through the analysis of the value functions, we study in which cases it is possible…

We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…

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 consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…

We consider the general model of zero-sum repeated games (or stochastic games with signals), and assume that one of the players is fully informed and controls the transitions of the state variable. We prove the existence of the uniform…

Option contracts are a type of financial derivative that allow investors to hedge risk and speculate on the variation of an asset's future market price. In short, an option has a particular payout that is based on the market price for an…

We propose two novel frameworks to study the price formation of an asset negotiated in an order book. Specifically, we develop a game-theoretic model in many-person games and mean-field games, considering costs stemming from limited…

We consider a game-theoretical problem called selfish 2-dimensional bin packing game, a generalization of the 1-dimensional case already treated in the literature. In this game, the items to be packed are rectangles, and the bins are unit…

We study option prices in financial markets where the risky asset prices are modelled by jump diffusions. It was proposed by Schweizer (1996) in a general semimartingale setting, following earlier works by F\"ollmer and Sondermann (1986)…

In this paper, we delve into the problem of using monetary incentives to encourage players to shift from an initial Nash equilibrium to a more favorable one within a game. Our main focus revolves around computing the minimum reward required…

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…

This work contains the mathematical exploration of a few prototypical games in which central concepts from statistics and probability theory naturally emerge. The first two kinds of games are termed Fisher and Bayesian games, which are…