Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39799 
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dc.contributor.authorBieta, Volkeren
dc.contributor.authorBroll, Udoen
dc.contributor.authorMilde, Hellmuthen
dc.contributor.authorSiebel, Wilfrieden
dc.date.accessioned2010-03-15-
dc.date.accessioned2010-09-09T09:45:45Z-
dc.date.available2010-09-09T09:45:45Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aTechnische Universität Dresden, Fakultät Wirtschaftswissenschaften |cDresdenen
dc.relation.ispartofseries|aDresden Discussion Paper Series in Economics |x16/09en
dc.subject.jelG13en
dc.subject.jelC72en
dc.subject.ddc330en
dc.subject.keywordgame theoryen
dc.subject.keywordNash equilibriumen
dc.subject.keywordoption pricingen
dc.subject.keywordreal optionen
dc.subject.stwOptionspreistheorieen
dc.subject.stwSpieltheorieen
dc.subject.stwNash-Gleichgewichten
dc.subject.stwRealoptionen
dc.subject.stwTheorieen
dc.titleStrategic pricing of financial options-
dc.type|aWorking Paperen
dc.identifier.ppn621110361en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tuddps:1609en

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