EconStor >
Technische Universität Dresden >
Fakultät Wirtschaftswissenschaften, Technische Universität Dresden >
Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/39799
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorBieta, Volkeren_US
dc.contributor.authorBroll, Udoen_US
dc.contributor.authorMilde, Hellmuthen_US
dc.contributor.authorSiebel, Wilfrieden_US
dc.date.accessioned2010-03-15en_US
dc.date.accessioned2010-09-09T09:45:45Z-
dc.date.available2010-09-09T09:45:45Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/39799-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisherUniv. of Technology, Fac. of Business Management and Economics Dresdenen_US
dc.relation.ispartofseriesDresden discussion paper series in economics 16/09en_US
dc.subject.jelG13en_US
dc.subject.jelC72en_US
dc.subject.ddc330en_US
dc.subject.keywordgame theoryen_US
dc.subject.keywordNash equilibriumen_US
dc.subject.keywordoption pricingen_US
dc.subject.keywordreal optionen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwSpieltheorieen_US
dc.subject.stwNash-Gleichgewichten_US
dc.subject.stwRealoptionen_US
dc.subject.stwTheorieen_US
dc.titleStrategic pricing of financial optionsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn621110361en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:tuddps:1609-
Appears in Collections:Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden

Files in This Item:
File Description SizeFormat
621110361.pdf138.33 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.