A Game Theory Analysis of Options
Subtitle: Corporate Finance and Financial Intermediation in Continuous Time
By: by Alexandre Ziegler
Edition: Second Edition.
Series: Springer Finance; Springer finance
Publisher: Springer Berlin Heidelberg
Published: 2004
Place of publication: Berlin, Heidelberg
Language: eng
Format: [electronic resource] :
Number of pages: 174
ISBN-13: 9783642058462; 9783540246909
Subjects: Mathematical Economics; Economics; Finance
Description: This book shows how to combine 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 applications to the theory of corporate finance and financial intermediation, such as the design of debt contracts, capital structure choice, the structure of banking deposit contracts, and the incentive effects of deposit insurance. By combining arbitrage-free valuation techniques with strategic analysis, the game theory analysis of options actually provides the link between markets and organizations.
Notes: Online full text is restricted to subscribers.

Also available in print.

Mode of access: World Wide Web.
Table of contents: title: Methodological Issues; title: Credit and Collateral; title: Endogenous Bankruptcy and Capital Structure; title: Junior Debt; title: Bank Runs; title: Deposit Insurance; title: Summary and Conclusion.