A game theory analysis of options : contributions to the theory of financial intermediation in continuous time
著者
書誌事項
A game theory analysis of options : contributions to the theory of financial intermediation in continuous time
（Lecture notes in economics and mathematical systems, 468）
Springer-Verlag, c1999
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注記
Rev. version of the author's thesis (doctoral--University of St. Gallen)
Includes bibliographical references (p. [143]-145)
内容説明・目次
内容説明
This text presents a method that combines 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 examples from the theory of corporate finance and financial intermediation. By combining arbitrage free valuation techniques with strategic analysis, the game theory analysis of options actually provides the link between markets and organizations.
目次
- Methodological issues
- credit and collateral
- endogenous bankruptcy and capital structure
- junior debt
- bank runs
- deposit insurance
- summary and conclusion. (Part contents)
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