Essays about: "Daniel Schwartz"

Found 1 essay containing the words Daniel Schwartz.

  1. 1. Game contingent claims

    University essay from KTH/Matematisk statistik

    Author : Daniel Eliasson; [2012]
    Keywords : Game contingent claims; game options; Israeli options; Dynkin games; zero-sum games; non-zero-sum games; Monte-Carlo simulation; pricing;

    Abstract : Abstract Game contingent claims (GCCs), as introduced by Kifer (2000), are a generalization of American contingent claims where the writer has the opportunity to terminate the contract, and must then pay the intrinsic option value plus a penalty. In complete markets, GCCs are priced using no-arbitrage arguments as the value of a zero-sum stochastic game of the type described in Dynkin (1969). READ MORE