Springer Finance

A Game Theory Analysis of Options

Corporate Finance and Financial Intermediation in Continuous Time

Authors: Ziegler, Alexandre C.

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About this book

Modern option pricing theory was developed in the late sixties and early seventies by F. Black, R. e. Merton and M. Scholes as an analytical tool for pricing and hedging option contracts and over-the-counter warrants. How­ ever, 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 cor­ porate 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, very few attempts have 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 contin­ uous time models and the closed form valuation models for derivatives, Dr.

Table of contents (7 chapters)

Table of contents (7 chapters)

Buy this book

eBook $139.00
price for USA in USD
  • ISBN 978-3-540-24690-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $179.99
price for USA in USD
  • ISBN 978-3-540-20668-2
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
Softcover $179.99
price for USA in USD
  • ISBN 978-3-642-05846-2
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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Bibliographic Information

Bibliographic Information
Book Title
A Game Theory Analysis of Options
Book Subtitle
Corporate Finance and Financial Intermediation in Continuous Time
Authors
Series Title
Springer Finance
Copyright
2004
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-24690-9
DOI
10.1007/978-3-540-24690-9
Hardcover ISBN
978-3-540-20668-2
Softcover ISBN
978-3-642-05846-2
Series ISSN
1616-0533
Edition Number
2
Number of Pages
XVI, 176
Additional Information
Originally published as Volume 468 in the series: Lecture Notes in Economics and Mathematical Systems
Topics