EconPapers    
Economics at your fingertips  
 

Arbitrage-free pricing of multi-person game claims in discrete time

Ivan Guo () and Marek Rutkowski ()
Additional contact information
Ivan Guo: Monash University
Marek Rutkowski: University of Sydney

Finance and Stochastics, 2017, vol. 21, issue 1, No 3, 155 pages

Abstract: Abstract We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option to a contract in which an arbitrary number of parties is involved and each of them is allowed to make a wide array of decisions at any time, not restricted to simply exercising the option. The collection of decisions by all parties then determines the contract’s termination date as well as the terminal payoff for each party. We provide sufficient conditions under which a discrete-time multi-person game option has a unique arbitrage-free price, which is additive with respect to any partition of the contract. Our results are illustrated by the detailed study of a particular multi-person contract with puttable tranches.

Keywords: Multi-person games; Arbitrage-free pricing; Optimal equilibrium; 60G35; 91G20; 91G80 (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s00780-016-0315-1 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0315-1

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

DOI: 10.1007/s00780-016-0315-1

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2025-03-20
Handle: RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0315-1