| 期刊全稱 | A Game Theory Analysis of Options | | 期刊簡稱 | Contributions to the | | 影響因子2023 | Alexandre Ziegler | | 視頻video | http://file.papertrans.cn/141/140835/140835.mp4 | | 發(fā)行地址 | Integration of game theory aspects into the framework of continuous time finance.Illustration of the main results in numerous figures.Includes supplementary material: | | 學(xué)科分類 | Lecture Notes in Economics and Mathematical Systems | | 圖書封面 |  | | 影響因子 | Modem option pricing theory was developed in the late sixties and early seventies by F. Black, R. C. Merton and M. Scholes as an analytical tool for pricing and hedging option contracts and over-the-counter warrants. However, already in the seminal paper by Black and Scholes, the applicability of the model was regarded as much broader. In the second part of their paper, the authors demonstrated that a levered firm‘s equity can be regarded as an option on the value of the firm, and thus can be priced by option valuation techniques. A year later, Merton showed how the default risk structure of corporate bonds can be determined by option pricing techniques. Option pricing models are now used to price virtually the full range of financial instruments and financial guarantees such as deposit insurance and collateral, and to quantify the associated risks. Over the years, option pricing has evolved from a set of specific models to a general analytical framework for analyzing the production process of financial contracts and their function in the financial intermediation process in a continuous time framework. However, virtually no attempt has been made in the literature to integrate game | | Pindex | Book 19991st edition |
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