PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH
Year of publication: |
2007
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Authors: | HUCKI, Z. ; KOLOKOLTSOV, V. N. |
Published in: |
International Game Theory Review (IGTR). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6675. - Vol. 09.2007, 02, p. 215-242
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Coloured (or rainbow) options | explicit formulas for hedge | transaction costs | interval model | submodular functions |
Extent: | application/pdf text/html |
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Type of publication: | Article |
Classification: | B4 - Economic Methodology ; C0 - Mathematical and Quantitative Methods. General ; C6 - Mathematical Methods and Programming ; C7 - Game Theory and Bargaining Theory ; D5 - General Equilibrium and Disequilibrium ; D7 - Analysis of Collective Decision-Making ; M2 - Business Economics |
Source: |
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