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A Game Theory Analysis of Options

Contributions to the Theory of Financial Intermediation in Continuous Time

  • Book
  • © 1999

Overview

Authors:
  1. Alexandre Ziegler

    1. Collonge-Bellerive, Switzerland

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  • Integration of game theory aspects into the framework of continuous time finance
  • Illustration of the main results in numerous figures
  • Includes supplementary material: sn.pub/extras

Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 468)

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Table of contents (7 chapters)

  1. Front Matter

    Pages I-XIV
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  2. Methodological Issues

    • Alexandre Ziegler
    Pages 1-13

  3. Credit and Collateral

    • Alexandre Ziegler
    Pages 15-31

  4. Endogenous Bankruptcy and Capital Structure

    • Alexandre Ziegler
    Pages 33-65

  5. Junior Debt

    • Alexandre Ziegler
    Pages 67-87

  6. Bank Runs

    • Alexandre Ziegler
    Pages 89-105

  7. Deposit Insurance

    • Alexandre Ziegler
    Pages 107-131

  8. Summary and Conclusions

    • Alexandre Ziegler
    Pages 133-135

  9. Back Matter

    Pages 137-150
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Keywords

About this book

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.

Authors and Affiliations

  • Collonge-Bellerive, Switzerland

    Alexandre Ziegler

Bibliographic Information

  • Book Title: A Game Theory Analysis of Options

  • Book Subtitle: Contributions to the Theory of Financial Intermediation in Continuous Time

  • Authors: Alexandre Ziegler

  • Series Title: Lecture Notes in Economics and Mathematical Systems

  • DOI: https://doi.org/10.1007/978-3-662-21589-0

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 1999

  • eBook ISBN: 978-3-662-21589-0Published: 29 June 2013

  • Series ISSN: 0075-8442

  • Series E-ISSN: 2196-9957

  • Edition Number: 1

  • Number of Pages: XIV, 150

  • Topics: Finance, general

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