GAME-THEORETIC APPROACH TO THE PRICING OF OPTIONS DEPENDING ON SEVERAL COMMON STOCKS
Professor Vassili Kolokoltsov, Department of Computing and Mathematics, Nottingham Trent University

Abstract: The hedging price of an option to buy (or to sell) one of a given number of different common stocks will be discussed. It turns out that one can get rather non-trivial, but explicit final formulas for discrete time models. The arguments are purely game-theoretic. Though no probabilistic considerations are involved, the resulting formulas can be interpreted in terms of risk-neutral probabilities.

This seminar was held at the Department of Computer Science, Royal Holloway, University of London on 7 May 2002.