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

We study a setting in which two players play a (possibly approximate) Nash equilibrium of a bimatrix game, while a learner observes only their actions and has no knowledge of the equilibrium or the underlying game. A natural question is…

The paper proposes a natural measure space of zero-sum perfect information games with upper semicontinuous payoffs. Each game is specified by the game tree, and by the assignment of the active player and of the capacity to each node of the…

We justify and give error estimates for binomial approximations of game (Israeli) options in the Black--Scholes market with Lipschitz continuous path dependent payoffs which are new also for usual American style options. We show also that…

In this paper, we introduce and study a class of games called price-coupling games that arise in many scenarios, especially in the electricity industry. In a price-coupling game, there is a part of the objective function of a player which…

We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black--Scholes market considering Lipschitz continuous path-dependent payoffs for both discrete- and…

We study two player reachability-price games on single-clock timed automata. The problem is as follows: given a state of the automaton, determine whether the first player can guarantee reaching one of the designated goal locations. If a…

We propose a numerical procedure for computing the prices of European options, in which the underlying asset price is a Markovian strict local martingale. If the underlying process is a strict local martingale and the payoff is of linear…

The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a…

In settings where full incentive-compatibility is not available, such as core-constraint combinatorial auctions and budget-balanced combinatorial exchanges, we may wish to design mechanisms that are as incentive-compatible as possible. This…

This paper presents a new exponential lower bound for the two most popular deterministic variants of the strategy improvement algorithms for solving parity, mean payoff, discounted payoff and simple stochastic games. The first variant…

The author presents alternatives to the Black-Scholes european call option pricing model by incorporating different transaction cost structures in the replicating strategy. In particular, an exponentially decreasing structure is proposed…

We introduce a setup of model uncertainty in discrete time. In this setup we derive dual expressions for the super--replication prices of game options with upper semicontinuous payoffs. We show that the super--replication price is equal to…

We study a strategic experimentation game with exponential bandits, in which experiment outcomes are private. The equilibrium amount of experimentation is always higher than in the benchmark case where experiment outcomes are publicly…

We investigate zero-sum turn-based two-player stochastic games in which the objective of one player is to maximize the amount of rewards obtained during a play, while the other aims at minimizing it. We focus on games in which the minimizer…

The main result of this paper is a probabilistic proof of the penalty method for approximating the price of an American put in the Black-Scholes market. The method gives a parametrized family of partial differential equations, and by…

Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…

In the paper it is proven that the two-players turn-based stochastic game "Risk or Safety" has a unique solution. Both players need to play the same strategy if they want to maximize their winning chances. An analytical method based on the…

Option contracts can be valued by using the Black-Scholes equation, a partial differential equation with initial conditions. An exact solution for European style options is known. The computation time and the error need to be minimized…

Assuming that price of the underlying stock is moving in range bound, the Black-Scholes formula for options pricing supports a separation of variables. The resulting time-independent equation is solved employing different behavior of the…

This paper starts by defining the criteria where the early-exercise of an American option is never optimal, under positive, or negative rates. It follows with a short analysis of the various shapes of the exercise region under negative…