Arbitrage-free pricing of multi-person game claims in discrete time

作者：Guo Ivan; Rutkowski Marek^*

来源：Finance and Stochastics, 2017, 21(1): 111-155.

DOI：10.1007/s00780-016-0315-1

• Multi-person games
• Arbitrage-free pricing
• Optimal equilibrium

We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option 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 termination date as well as the terminal payoff for each party. We provide sufficient conditions under which a discrete-time multi-person game option has a unique arbitrage-free price, which is additive with respect to any partition of the contract. Our results are illustrated by the detailed study of a particular multi-person contract with puttable tranches.

• 出版日期2017-1