Strategic Option Pricing

• Autorzy: Bieta Volker , Udo Broll , Wilfried Siebe
• Języki publikacji: EN

Abstrakty

EN

In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset? The traditional answer is obtained with the help of a replicating portfolio by ruling out arbitrage. Instead a two-person game from the Nash equilibrium of which the option price can be derived is formulated. Consequently both the underlying asset's price at expiration and the price of the option on this asset are endogenously determined. The option price derived this way turns out, however, to be identical to the classical no-arbitrage option price of the binomial model if the expiration-date prices of the underlying asset and the corresponding risk-neutral probability are properly adjusted according to the Nash equilibrium data of the game.(original abstract)

Słowa kluczowe

EN

Valuation; Options; Game theory; Balance; Nash equilibrium

PL

Wycena; Opcje; Teoria gier; Równowaga; Równowaga Nasha

• Czasopismo: Economics and Business Review
• Rocznik: 2020
• Tom: 6 (20)
• Numer: nr 3
• Strony: 118--129

Twórcy

autor

Bieta Volker

• Technische Universität Dresden

autor

Udo Broll

• Technische Universität Dresden, Germany

autor

Wilfried Siebe

• Universität Rostock

Bibliografia

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• Wong, K. P., Filbeck, G., & Baker, H. K. (2015). Options. In K. Baker & G. Filbeck (Eds.), Investment risk management (pp. 463-481). Oxford, NY: Oxford University Press.
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Identyfikatory

DOI

10.18559/ebr.2020.3.7