A Game Theory Analysis of Options: Contributions to the Theory of Financial Intermediation in Continuous Time
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 th...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1999
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| Ausgabe: | 1st ed. 1999 |
| Schriftenreihe: | Lecture Notes in Economics and Mathematical Systems
468 |
| Schlagworte: | |
| Online-Zugang: | BTU01 URL des Erstveröffentlichers |
| Zusammenfassung: | 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 theory aspects, i. e. strategic financial decisions of the agents, into the continuous time framework. This is the unique contribution of the thesis of Dr. Alexandre Ziegler. Benefiting from the analytical tractability of continuous time models and the closed form valuation models for derivatives, Dr |
| Beschreibung: | 1 Online-Ressource (XIV, 150 p) |
| ISBN: | 9783662215890 |
| DOI: | 10.1007/978-3-662-21589-0 |
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| 520 | |a 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 theory aspects, i. e. strategic financial decisions of the agents, into the continuous time framework. This is the unique contribution of the thesis of Dr. Alexandre Ziegler. Benefiting from the analytical tractability of continuous time models and the closed form valuation models for derivatives, Dr | ||
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| spelling | Ziegler, Alexandre Verfasser aut A Game Theory Analysis of Options Contributions to the Theory of Financial Intermediation in Continuous Time by Alexandre Ziegler 1st ed. 1999 Berlin, Heidelberg Springer Berlin Heidelberg 1999 1 Online-Ressource (XIV, 150 p) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Economics and Mathematical Systems 468 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 theory aspects, i. e. strategic financial decisions of the agents, into the continuous time framework. This is the unique contribution of the thesis of Dr. Alexandre Ziegler. Benefiting from the analytical tractability of continuous time models and the closed form valuation models for derivatives, Dr Finance, general Finance Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Spieltheorie (DE-588)4056243-8 gnd rswk-swf Optionsmarkt (DE-588)4381644-7 gnd rswk-swf Optionshandel (DE-588)4126185-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Optionspreistheorie (DE-588)4135346-8 s Spieltheorie (DE-588)4056243-8 s DE-604 Optionshandel (DE-588)4126185-9 s Optionsmarkt (DE-588)4381644-7 s Erscheint auch als Druck-Ausgabe 9783540656289 Erscheint auch als Druck-Ausgabe 9783662215906 https://doi.org/10.1007/978-3-662-21589-0 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Ziegler, Alexandre A Game Theory Analysis of Options Contributions to the Theory of Financial Intermediation in Continuous Time Finance, general Finance Optionspreistheorie (DE-588)4135346-8 gnd Spieltheorie (DE-588)4056243-8 gnd Optionsmarkt (DE-588)4381644-7 gnd Optionshandel (DE-588)4126185-9 gnd |
| subject_GND | (DE-588)4135346-8 (DE-588)4056243-8 (DE-588)4381644-7 (DE-588)4126185-9 (DE-588)4113937-9 |
| title | A Game Theory Analysis of Options Contributions to the Theory of Financial Intermediation in Continuous Time |
| title_auth | A Game Theory Analysis of Options Contributions to the Theory of Financial Intermediation in Continuous Time |
| title_exact_search | A Game Theory Analysis of Options Contributions to the Theory of Financial Intermediation in Continuous Time |
| title_exact_search_txtP | A Game Theory Analysis of Options Contributions to the Theory of Financial Intermediation in Continuous Time |
| title_full | A Game Theory Analysis of Options Contributions to the Theory of Financial Intermediation in Continuous Time by Alexandre Ziegler |
| title_fullStr | A Game Theory Analysis of Options Contributions to the Theory of Financial Intermediation in Continuous Time by Alexandre Ziegler |
| title_full_unstemmed | A Game Theory Analysis of Options Contributions to the Theory of Financial Intermediation in Continuous Time by Alexandre Ziegler |
| title_short | A Game Theory Analysis of Options |
| title_sort | a game theory analysis of options contributions to the theory of financial intermediation in continuous time |
| title_sub | Contributions to the Theory of Financial Intermediation in Continuous Time |
| topic | Finance, general Finance Optionspreistheorie (DE-588)4135346-8 gnd Spieltheorie (DE-588)4056243-8 gnd Optionsmarkt (DE-588)4381644-7 gnd Optionshandel (DE-588)4126185-9 gnd |
| topic_facet | Finance, general Finance Optionspreistheorie Spieltheorie Optionsmarkt Optionshandel Hochschulschrift |
| url | https://doi.org/10.1007/978-3-662-21589-0 |
| work_keys_str_mv | AT ziegleralexandre agametheoryanalysisofoptionscontributionstothetheoryoffinancialintermediationincontinuoustime |