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Pricing of rainbow options : game theoretic approach
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Hucki, Z. and Kolokoltsov, V. N. (Vasiliĭ Nikitich) (2007) Pricing of rainbow options : game theoretic approach. International Game Theory Review, Vol.9 (No.2). p. 215. doi:10.1142/S0219198907001370 ISSN 0219-1989.
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Official URL: http://dx.doi.org/10.1142/S0219198907001370
Abstract
The general approach for the pricing of rainbow (or colored) options with fixed transaction costs is developed from the game theoretic point of view. The evolution of the underlying common stocks is considered in discrete time. The main result consists in the explicit calculation of the hedge price for a variety of the rainbow options including option delivering the best of J risky assets and cash, calls on the maximum of J risky assets and the multiple-strike options. The results obtained can be also used in the framework of real options.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance Q Science > QA Mathematics |
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Options (Finance) -- Prices -- Mathematical models, Game theory, Transaction costs, Submodular functions | ||||
Journal or Publication Title: | International Game Theory Review | ||||
Publisher: | World Scientific | ||||
ISSN: | 0219-1989 | ||||
Official Date: | 2007 | ||||
Dates: |
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Volume: | Vol.9 | ||||
Number: | No.2 | ||||
Page Range: | p. 215 | ||||
DOI: | 10.1142/S0219198907001370 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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