Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity.
Takeru MatsudaAkimichi TakemuraPublished in: CoRR (2018)
Keyphrases
- game theoretic
- game theory
- decision problems
- payoff functions
- nash equilibrium
- long run
- diminishing returns
- nash equilibria
- transaction costs
- imperfect information
- financial markets
- dynamic pricing
- bidding strategies
- multivariate time series
- exchange rate
- combinatorial auctions
- regret minimization
- boolean games
- pure nash equilibria
- electricity markets
- machine learning
- rational agents
- option pricing
- pricing model
- trust model
- dynamic programming