© 1999

A Game Theory Analysis of Options

Contributions to the Theory of Financial Intermediation in Continuous Time

  • Integration of game theory aspects into the framework of continuous time finance

  • Illustration of the main results in numerous figures


Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 468)

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Alexandre Ziegler
    Pages 1-13
  3. Alexandre Ziegler
    Pages 15-31
  4. Alexandre Ziegler
    Pages 33-65
  5. Alexandre Ziegler
    Pages 67-87
  6. Alexandre Ziegler
    Pages 89-105
  7. Alexandre Ziegler
    Pages 107-131
  8. Alexandre Ziegler
    Pages 133-135
  9. Back Matter
    Pages 137-150

About this book


Modem option pricing theory was developed in the late sixties and early seventies by F. Black, R. C. Merton and M. Scholes as an analytical tool for pricing and hedging option contracts and over-the-counter warrants. However, already in the seminal paper by Black and Scholes, the applicability of the model was regarded as much broader. In the second part of their paper, the authors demonstrated that a levered firm's equity can be regarded as an option on the value of the firm, and thus can be priced by option valuation techniques. A year later, Merton showed how the default risk structure of corporate bonds can be determined by option pricing techniques. Option pricing models are now used to price virtually the full range of financial instruments and financial guarantees such as deposit insurance and collateral, and to quantify the associated risks. Over the years, option pricing has evolved from a set of specific models to a general analytical framework for analyzing the production process of financial contracts and their function in the financial intermediation process in a continuous time framework. However, virtually no attempt has been made in the literature to integrate game theory aspects, i. e. strategic financial decisions of the agents, into the continuous time framework. This is the unique contribution of the thesis of Dr. Alexandre Ziegler. Benefiting from the analytical tractability of continuous time models and the closed form valuation models for derivatives, Dr.


Arbitrage Finance Financial Intermediation Financing Finanzintermediation Investment Optionspreistheorie Spieltheorie corporate finance game theory option pricing valuation

Authors and affiliations

  1. 1.Collonge-BelleriveSwitzerland

Bibliographic information

  • Book Title A Game Theory Analysis of Options
  • Book Subtitle Contributions to the Theory of Financial Intermediation in Continuous Time
  • Authors Alexandre Ziegler
  • Series Title Lecture Notes in Economics and Mathematical Systems
  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 1999
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Softcover ISBN 978-3-540-65628-9
  • eBook ISBN 978-3-662-21589-0
  • Series ISSN 0075-8442
  • Edition Number 1
  • Number of Pages XIV, 150
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Finance, general
  • Buy this book on publisher's site