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A Game Theory Analysis of Options by Alexandre C. Ziegler
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A Game Theory Analysis of Options

Corporate Finance and Financial Intermediation in Continuous Time
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Description

This book shows how to combine game theory and option pricing in order to analyze dynamic multiperson decision problems in continuous time and under uncertainty. The basic intuition of the method is to separate the problem of the valuation of payoffs from the analysis of strategic interactions. Whereas the former is to be handled using option pricing, the latter can be addressed by game theory. The text shows how both instruments can be combined and how game theory can be applied to complex problems of corporate finance and financial intermediation. Besides providing theoretical foundations and serving as a guide to stochastic game theory modelling in continuous time, the text contains numerous applications to the theory of corporate finance and financial intermediation, such as the design of debt contracts, capital structure choice, the structure of banking deposit contracts, and the incentive effects of deposit insurance. By combining arbitrage-free valuation techniques with strategic analysis, the game theory analysis of options actually provides the link between markets and organizations.
Release date Australia
December 7th, 2010
Audience
  • Professional & Vocational
Edition
Softcover reprint of hardcover 2nd ed. 2004
Illustrations
XVI, 176 p.
Pages
176
Dimensions
155x235x10
ISBN-13
9783642058462
Product ID
9984923

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