Strategic pricing of financial options

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Dresden Discussion Paper Series in Economics ; No. 16/09

Classification and Topics

• Classification: Wirtschaft ; Contingent Pricing; Futures Pricing; option pricing ; Noncooperative Games
• Subject: game theory ; Nash equilibrium ; option pricing ; real option ; Optionspreistheorie ; Spieltheorie ; Nash-Gleichgewicht ; Realoption ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bieta, Volker ; Broll, Udo ; Milde, Hellmuth ; Siebel, Wilfried
• Event: Veröffentlichung
• (who): Technische Universität Dresden, Fakultät Wirtschaftswissenschaften
• (where): Dresden
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/39799
• Last update: 10.03.2025, 11:43 AM CET