相关论文: Game pricing and double sequence of random variabl…

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…

We investigate upper and lower hedging prices of multivariate contingent claims from the viewpoint of game-theoretic probability and submodularity. By considering a game between "Market" and "Investor" in discrete time, the pricing problem…

The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise…

We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called {\it probability of drawdown}, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its…

For a game with positive expectation and some negative profit, a unique price exists, at which the optimal proportion of investment reaches its maximum. For a game with parallel translated profit, the ratio of this price to its expectation…

We study partial hedging for game options in markets with transaction costs bounded from below. More precisely, we assume that the investor's transaction costs for each trade are the maximum between proportional transaction costs and a…

Multi-round competitions often double or triple the points awarded in the final round, calling it a bonus, to maximize spectators' excitement. In a two-player competition with $n$ rounds, we aim to derive the optimal bonus size to maximize…

We study variants of a stochastic game inspired by backgammon where players may propose to double the stake, with the game state dictated by a one-dimensional random walk. Our variants allow for different numbers of proposals and different…

We propose a continuous version of the classical Gale--Berlekamp switching game. We also study a weighted version of this new continuous game. The main results of this paper concern growth estimates for the corresponding optimization…

We examine two types of binary betting markets, whose primary goal is for profit (such as sports gambling) or to gain information (such as prediction markets). We articulate the interplay between belief and price-setting to analyse both…

In online betting, the bookmaker can update the payoffs it offers on a particular event many times before the event takes place, and the updated payoffs may depend on the bets accumulated thus far. We study the problem of bookmaking with…

In the online (time-series) search problem, a player is presented with a sequence of prices which are revealed in an online manner. In the standard definition of the problem, for each revealed price, the player must decide irrevocably…

In this paper we examine problems motivated by on-line financial problems and stochastic games. In particular, we consider a sequence of entirely arbitrary distinct values arriving in random order, and must devise strategies for selecting…

Using methods from the statistical mechanics of disordered systems we analyze the properties of bimatrix games with random payoffs in the limit where the number of pure strategies of each player tends to infinity. We analytically calculate…

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…

For a game with positive profit, the optimal proportion of investment required to continue investing without borrowing is uniquely determined by an integral equation for each price. For a game with parallel translated profit, the ratio of…

We provide an European option pricing formula written in the form of an infinite series of Black Scholes type terms under double Levy jumps model, where both the interest rate and underlying price are driven by Levy process. The series…

We consider a non-stochastic online learning approach to price financial options by modeling the market dynamic as a repeated game between the nature (adversary) and the investor. We demonstrate that such framework yields analogous…

A valuation for a player in a game in extensive form is an assignment of numeric values to the players moves. The valuation reflects the desirability moves. We assume a myopic player, who chooses a move with the highest valuation.…

We consider a randomized algorithm for the unique games problem, using independent multinomial probabilities to assign labels to the vertices of a graph. The expected value of the solution obtained by the algorithm is expressed as a…