Differential Game-Theoretic Thoughts on Option Pricing and Transaction Costs.
Geert Jan OlsderPublished in: IGTR (2000)
Keyphrases
- game theoretic
- transaction costs
- option pricing
- stock exchange
- stock price
- black scholes
- game theory
- decision problems
- decision analysis
- stock market
- imperfect information
- nash equilibrium
- real option
- black scholes model
- financial data
- financial markets
- trust model
- decision theory
- financial time series
- portfolio selection
- multi criteria
- historical data
- non stationary
- long term
- news articles
- decision support system