相关论文: General Duality for Perpetual American Options

A class of discrete Bidding Combinatorial Games that generalize alternating normal play was introduced by Kant, Larsson, Rai, and Upasany (2022). The major questions concerning optimal outcomes were resolved. By generalizing standard game…

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 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…

We demonstrate the usefulness of adding delay to infinite games with quantitative winning conditions. In a delay game, one of the players may delay her moves to obtain a lookahead on her opponent's moves. We show that determining the winner…

In this work, we propose an algorithm to price American options by directly solving the dual minimization problem introduced by Rogers. Our approach relies on approximating the set of uniformly square integrable martingales by a finite…

We consider a continuous-time financial market with no arbitrage and no transactions costs. In this setting, we introduce two types of perpetual contracts, one in which the payoff to the long side is a fixed function of the underlyers and…

"Quantitative languages are extension of boolean languages that assign to each word a real number. Mean-payoff automata are finite automata with numerical weights on transitions that assign to each infinite path the long-run average of the…

We consider concurrent games played by two-players on a finite-state graph, where in every round the players simultaneously choose a move, and the current state along with the joint moves determine the successor state. We study a…

Given the marginal distribution information of the underlying asset price at two future times $T_1$ and $T_2$, we consider the problem of determining a model-free upper bound on the price of a class of American options that must be…

In this work we present two particular cases of the general duality result for linear optimisation problems over signed measures with infinitely many constraints in the form of integrals of functions with respect to the decision variables…

Consider a very simple class of (finite) games: after an initial move by nature, each player makes one move. Moreover, the players have common interests: at each node, all the players get the same payoff. We show that the problem of…

It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American…

An American option grants the holder the right to select the time at which to exercise the option, so pricing an American option entails solving an optimal stopping problem. Difficulties in applying standard numerical methods to complex…

We investigate the existence of certain types of equilibria (Nash, $\varepsilon$-Nash, subgame perfect, $\varepsilon$-subgame perfect, Pareto-optimal) in multi-player multi-outcome infinite sequential games. We use two fundamental…

We study the existence of pairwise stable allocations in matching markets with contracts and propose a domain restriction that guarantees their existence. Specifically, we define pseudo-substitutable preferences, a domain that strictly…

We initiate the study of how auction design affects the division of surplus among buyers. We propose a parsimonious measure for equity and apply it to the family of standard auctions for homogeneous goods. Our surplus-equitable mechanism is…

The pricing and hedging of a general class of options (including American, Bermudan and European options) on multiple assets are studied in the context of currency markets where trading is subject to proportional transaction costs, and…

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…

We study pricing and (super)hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealth dynamics. The payoff is given by an RCLL adapted process…

In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims…