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

In this work the properties of multi choice minority games are studied by means of extensive computational simulations. We have considered several ways of rewarding the strategies of the players and compared the resulting behaviours of the…

Proof that under simple assumptions, such as constraints of Put-Call Parity, the probability measure for the valuation of a European option has the mean derived from the forward price which can, but does not have to be the risk-neutral one,…

We investigate a multi-player and multi-choice quantum game. We start from two-player and two-choice game and the result is better than its classical version. Then we extend it to N-player and N-choice cases. In the quantum domain, we…

In a two-player zero-sum graph game the players move a token throughout a graph to produce an infinite path, which determines the winner or payoff of the game. Traditionally, the players alternate turns in moving the token. In {\em bidding…

We develop an option pricing model based on a tug-of-war game. This two-player zero-sum stochastic differential game is formulated in the context of a multi-dimensional financial market. The issuer and the holder try to manipulate asset…

The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without restrictions we derive a formula for…

In this article, we look at a hat-guessing game, in which each player must guess the color of their own hat while only seeing the hats of the other players. We focus on the case of two hat colors and a countably infinite number of players.…

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…

An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…

Pricing of high-dimensional options is one of the most important problems in Mathematical Finance. The objective of this manuscript is to present an original self-contained treatment of the multidimensional pricing. During the past decades…

This paper makes a small step towards a non-stochastic version of superhedging duality relations in the case of one traded security with a continuous price path. Namely, we prove the coincidence of game-theoretic and measure-theoretic…

Game theory has been increasingly applied in settings where the game is not known outright, but has to be estimated by sampling. For example, meta-games that arise in multi-agent evaluation can only be accessed by running a succession of…

Several problems in planning and reactive synthesis can be reduced to the analysis of two-player quantitative graph games. {\em Optimization} is one form of analysis. We argue that in many cases it may be better to replace the optimization…

Information in the form of data, which can be stored and transferred between users, can be viewed as an intangible commodity, which can be traded in exchange for money. Determining the fair price at which a string of data should be traded…

The problem of determining the European-style option price in the incomplete market has been examined within the framework of stochastic optimization. An analytic method based on the discrete dynamic programming equation (Bellman equation)…

We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this approach and illustrate it with two specific examples. The…

We introduce the class of pay or play games, which captures scenarios in which each decision maker is faced with a choice between two actions: one with a fixed payoff and an- other with a payoff dependent on others' selected actions. This…

The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so that they are not integer-valued in general, see the Black and Scholes model for instance.…

In game theory, players have continuous expected payoff functions and can use fixed point theorems to locate equilibria. This optimization method requires that players adopt a particular type of probability measure space. Here, we introduce…

We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and can act on the process continuously, while the other player…