文章基本信息

标题：Strategic option pricing
本地全文：下载
作者：Volker Bieta ; Udo Broll ; Wilfried Siebe 等
期刊名称：Economics and Business Review
印刷版ISSN：2392-1641
电子版ISSN：2450-0097
出版年度：2020
卷号：6
期号：3
页码：118-129
DOI：10.18559/ebr.2020.3.7
语种：English
出版社：Sciendo
摘要：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.
关键词：option pricing;game theory;Nash equilibrium