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Partial differential equations in economics and finance
Basov, Suran - 2007
Partial differential equations -- Elements of the theory of the Stochastic processes -- Partial differential equation … in the consumer theory -- Partial differential equations in the producer theory -- Partial differential equations and … pricing of the financial -- Derivatives -- A theory of boundedly rational behavior -- Partial differential equations in game …
Persistent link: https://www.econbiz.de/10003429606
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Randomized stopping times and American option pricing with transaction costs
Chalasani, Prasad; Jha, Somesh - In: Mathematical finance : an international journal of … 11 (2001) 1, pp. 33-77
Persistent link: https://www.econbiz.de/10001650918
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Game Russian options for double exponential jump diffusion processes
Suzuki, Atsuo; Sawaki, Katsushige - In: Journal of mathematical finance 4 (2014) 1, pp. 47-54
Persistent link: https://www.econbiz.de/10010422891
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Quick or persistent? : strategic investment demanding versatility
Steg, Jan-Henrik; Thijssen, Jacco J. J. - 2015
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and show that both preemption and attrition can occur along...
Persistent link: https://www.econbiz.de/10011284232
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Option game with Poisson Jump Process in company radical technological innovation
Daming, You; Yang, Xiaohui; Wu, Desheng Dash; Guofan, Chen - In: Technological forecasting & social change : an … 81 (2014), pp. 341-350
Persistent link: https://www.econbiz.de/10010403078
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Mechanism of Instrumental Game Theory in the Legal Process via Stochastic Options Pricing Induction
Osei Bonsu, Kwadwo - 2020
Economic theory has provided an estimable intuition in understanding the perplexing ideologies in law, in the areas of …
Persistent link: https://www.econbiz.de/10012825614
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Real options, intellectual property, R&D, geometric Brownian motion, Stackelberg games
Breccia, Adriana - 2019
Persistent link: https://www.econbiz.de/10011988095
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Doubly reflected BSDEs and epsilon f-Dynkin games : beyond the right-continuous case
Grigorova, Miryana; Imkeller, Peter; Quenez, Marie-Claire; … - 2018
We formulate a notion of doubly reflected BSDE in the case where the barriers xi and zeta do not satisfy any regularity assumption. Under a technical assumption (a Mokobodzki-type condition), we show existence and uniqueness of the solution. In the case where xi is right upper-semicontinuous and...
Persistent link: https://www.econbiz.de/10011892215
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A game theory analysis of options : contributions to the theory of financial intermediation in continuous time
Ziegler, Alexandre - 1998
Persistent link: https://www.econbiz.de/10000676454
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Optimal debt service : straight vs. convertible debt
Koziol, Christian - In: Schmalenbach business review : sbr 58 (2006) 2, pp. 124-151
Persistent link: https://www.econbiz.de/10003308774