Arbeitspapier
Strategic pricing of financial options
The mainstream model of option pricing is based on an exogenously given process of price movements. The implication of this assumption is that price movements are not affected by actions of market participants. However, if we assume that there are indeed impacts on the price movements it no longer possible to apply the standard pricing models. As a result we need an approach explaining interdependent actions. Game theory is in a position to offer proper olutions. This paper applies game theoretic concepts to determine option prices. Consequently, both the option price and the underlying´s expiration price are endogenously determined.
- Sprache
-
Englisch
- Erschienen in
-
Series: Dresden Discussion Paper Series in Economics ; No. 16/09
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Noncooperative Games
- Thema
-
game theory
Nash equilibrium
option pricing
real option
Optionspreistheorie
Spieltheorie
Nash-Gleichgewicht
Realoption
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bieta, Volker
Broll, Udo
Milde, Hellmuth
Siebel, Wilfried
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
- (wo)
-
Dresden
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bieta, Volker
- Broll, Udo
- Milde, Hellmuth
- Siebel, Wilfried
- Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
Entstanden
- 2009
Ähnliche Objekte (12)
A Strategic Approach to Financial Options
Strategic option pricing
Hedging export revenue risk using futures and options
The effect of forward markets and currency options on international trade
Real exchange-rate uncertainty and US foreign direct investment: an empirical analysis
Real exchange-rate uncertainty and US foreign direct investment: an empirical analysis
Cross hedging in currency forward markets
How international trade is affected by the financial crisis: The gravity trade equation
Differential Taxation and Corporate Futures-Hedging
Liquidity constrained exporters: Trade and futures hedging
Zur Vorteilhaftigkeit des Hedgings für Banken
Mitigation of foreign Direct investment risk and hedging
A Strategic Approach to Financial Options
Strategic option pricing
Hedging export revenue risk using futures and options
The effect of forward markets and currency options on international trade
Real exchange-rate uncertainty and US foreign direct investment: an empirical analysis
Real exchange-rate uncertainty and US foreign direct investment: an empirical analysis
Cross hedging in currency forward markets
How international trade is affected by the financial crisis: The gravity trade equation
Differential Taxation and Corporate Futures-Hedging
Liquidity constrained exporters: Trade and futures hedging
Zur Vorteilhaftigkeit des Hedgings für Banken
Mitigation of foreign Direct investment risk and hedging
A Strategic Approach to Financial Options
Strategic option pricing
Hedging export revenue risk using futures and options
The effect of forward markets and currency options on international trade
Real exchange-rate uncertainty and US foreign direct investment: an empirical analysis
Real exchange-rate uncertainty and US foreign direct investment: an empirical analysis
Cross hedging in currency forward markets
How international trade is affected by the financial crisis: The gravity trade equation
Differential Taxation and Corporate Futures-Hedging
Liquidity constrained exporters: Trade and futures hedging
Zur Vorteilhaftigkeit des Hedgings für Banken