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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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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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The options edge : winning the volatility game with options on futures
Gallacher, William R. - 1998
Persistent link: https://www.econbiz.de/10000670962
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The pricing of perpetual game put options and optimal boundaries
Suzuki, Atsuo; Sawaki, Katsushige - In: Recent advances in stochastic operations research : …, (pp. 175-187). 2007
Persistent link: https://www.econbiz.de/10003851638
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Can bailout improve the economic welfare? : a structural derivation of the option price
Ōtaki, Masayuki - In: Theoretical economics letters 3 (2013) 2, pp. 105-107
Persistent link: https://www.econbiz.de/10010239634
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Game call options revisited
Yam, Sheung Chi Phillip; Yung, S. P.; Zhou, Wei - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 173-206
Persistent link: https://www.econbiz.de/10010256173
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Reputation As an Option
Sawyer, Kim R. - 2018
than projects. Representing opinions as assets allows results from asset pricing theory to be invoked. We use the capital …
Persistent link: https://www.econbiz.de/10012921199
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Valuation of game option bonds under the generalized Ho-Lee model : a stochastic game approach
Ochiai, Natsumi; Ohnishi, Masamitsu - In: Journal of mathematical finance 5 (2015) 4, pp. 412-422
Persistent link: https://www.econbiz.de/10011439173
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Valuation of game swaptions under the generalized Ho-Lee model
Ebina, Aki; Ochiai, Natsumi; Ohnishi, Masamitsu - In: Journal of mathematical finance 6 (2016) 5, pp. 1002-1016
Persistent link: https://www.econbiz.de/10011658160
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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