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ECU interest rates and ECU basket adjustments: An arbitrage pricing approach

Klein, Martin; Mueller, Sigrid - University of Bonn, Germany

Persistent link: https://www.econbiz.de/10005028492

Simultaneous Evolution of Learning Rules and Strategies

Kirchkamp, Oliver - University of Bonn, Germany - 1996

We study a model of local evolution. Players are located on a network and play games agains their neighbors. Players are characterized by three properties: (1) The stage game strategies they use agains their neighbors. (2) The repeated game strategy that determines the former. (3) A learning...

Persistent link: https://www.econbiz.de/10004968201

Spatial Evolution of Automata in the Prisoners' Dilemma

Kirchkamp, Oliver - University of Bonn, Germany - 1995

This paper applies the idea of evolution to a spatial model. We assume that prisoners' dilemmas or coordination games are played repeatedly within neighborhoods where players do not optimize but instead copy successful strategies. Discriminatory behavior of players is introduced representing...

Persistent link: https://www.econbiz.de/10004968227

Asynchronous Evolution of Pairs How spatial evolution leads to enequality

Kirchkamp, Oliver - University of Bonn, Germany - 1995

We present a simple model of spatial evolution that avoids several problems that arise with more complex networks of players. We consider a world where pairs of players are permanently matched. These players learn from the whole population but they are more likely to learn to strategies used by...

Persistent link: https://www.econbiz.de/10004968288

Imitation - Theory and Experimental Evidence

Apesteguia, Jose; Huck, Steffen; Oechssler, Jörg - University of Bonn, Germany - 2003

We introduce a generalized theoretical approach to study imitation models and subject the models to rigorous experimental testing. In our theoretical analysis we find that the different predictions of previous imitation models are due to different informational assumptions, not to different...

Persistent link: https://www.econbiz.de/10004968437

Evolutionarily stable mating behaviour

Gardner, Roy; Morris, Molly; Nelson, Craig - University of Bonn, Germany - 1986

Persistent link: https://www.econbiz.de/10005028229

Sophisticated Imitation in Cyclic Games

Hofbauer, Josef; Schlag, Karl H. - University of Bonn, Germany

Consider a large population of individuals that are repeatedly randomly matched to play a cyclic 2x2 game such as Matching Pennies with fixed roles assigned in the game. Some learn by sampling previous play of a finite number of other individuals in the same role. We analyze population dynamics...

Persistent link: https://www.econbiz.de/10005032139

Closed form representations for the minimal hedging portfolios of American type contingent claims

Vishnyakov, A. N.; Kramkov, D.O. - University of Bonn, Germany - 1994

In the framework of the classical Black and Scholes model of security market we present the explicit formulas of the minimal hedging portfolios for a number of reward processes of the ``classical'', lookback and Asian type. These results complement the solutions previously received by Mc~Kean,...

Persistent link: https://www.econbiz.de/10004968196

Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets

Sommer, Daniel - University of Bonn, Germany - 1998

possible in an incomplete markets framework the no--arbitrage arguments that have been developed in complete markets leads us … to defining the concept of pseudo--arbitrage. Building on this concept we are able to extend the no--arbitrage idea to a …

Persistent link: https://www.econbiz.de/10004968199

An Experimental Investigation of the Option Pricing Approach

Abbink, Klaus; Kuon, Bettina - University of Bonn, Germany - 1996

values the option with his arbitrage free price, which is independent of the probability of the stock movement. The … experimental data show that the traiders learn to exploit more arbitrage as they gain experience, however, they value the option by … probability values. Nevertheless, there are hints for learning towards the arbitrage free price, driven by the expected payoff …

Persistent link: https://www.econbiz.de/10004968214