英文标题：
《Arbitrage Pricing of Multi-person Game Contingent Claims》
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作者：
Ivan Guo and Marek Rutkowski
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最新提交年份：
2014
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英文摘要：
We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option (see Kifer (2000)) to a contract in which an arbitrary number of parties is involved and each of them is allowed to make a wide array of decisions at any time, not restricted to simply `exercising the option\'. The collection of decisions by all parties then determines the contract\'s settlement date as well as the terminal payoff for each party. We provide sufficient conditions under which a multi-person game option has a unique arbitrage price, which is additive with respect to any partition of the contract.
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中文摘要：
我们引入了一类涉及多方的金融合同，将两人博弈期权的概念（见Kifer（2000））扩展到一个合同中，其中涉及任意数量的方，并且每个方都可以在任何时候做出广泛的决策，而不仅仅限于“行使期权”。然后，各方决定的集合决定了合同的结算日期以及各方的最终支付。我们给出了多人博弈期权具有唯一套利价格的充分条件，该价格相对于合同的任何分割都是可加的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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