ngminh-jo / Game-theoretical-approach-to-option-pricing

Game theoretical approach of pricing a perpetual option

Goal: Review the literatures and simulation the simple modell for good alternative to the standard method for pricing such a specific option

Table of Contents

1. Introduction

   • Motivation

2. Basics

   • Option pricing
     • Call Option
     • Options
     • Boundary conditions
   • Game theory
     • Game theory basics
     • Setting the game

3. Game theoretical modelling of Option pricing

   • Methodical approach
     • Three-step procedure
   • Application on Example
     • Step 1
     • Step 2
     • Step 3
   • Simulation of Example: all the codes in src and plots in noteboook
     • Wiener process
     • Geometric Brownian motion
     • Euler-Maruyama method for SDE
     • Price of perpetual put option

4. Conclusion

   • Conclusion and Outlook

5. Literature (1 Folie)

Literatur

• Main literature is the book: A game theoretic analysis of options
• Game Theory Models, Numerical methods and applications
• Vorlesungs-Skript von Mathematical
• Modelling and Simulation
• Vorlesungs-Skript von Derivate