PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH

2007 ◽  
Vol 09 (02) ◽  
pp. 215-242 ◽  
Author(s):  
Z. HUCKI ◽  
V. N. KOLOKOLTSOV
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Point Of View ◽  
Explicit Calculation ◽  
Theoretic Approach ◽  
Risky Assets ◽  
Common Stocks ◽  
Theoretic Point ◽  
Game Theoretic ◽  
Game Theoretic Approach

The general approach for the pricing of rainbow (or colored) options with fixed transaction costs is developed from the game theoretic point of view. The evolution of the underlying common stocks is considered in discrete time. The main result consists in the explicit calculation of the hedge price for a variety of the rainbow options including option delivering the best of J risky assets and cash, calls on the maximum of J risky assets and the multiple-strike options. The results obtained can be also used in the framework of real options.

A Game Theoretic Mechanism for Management of IoT Resources in a Smart City

2021 ◽  
Vol 14 (4) ◽  
pp. 107-121
Author(s):  
Priya Matta ◽  
Bhaskar Pant ◽  
Sachin Sharma
Keyword(s):  
Smart City ◽  
Physical World ◽  
Point Of View ◽  
Use Case ◽  
Theoretic Approach ◽  
Major Focus ◽  
Resource Manager ◽  
Multiple Resources ◽  
Game Theoretic ◽  
Game Theoretic Approach

IoT is emerging in all the dimensions of the physical world, and smart city is one of the most promising among them. This article focuses on the efficient utilisation of resources in an IoT system. IoT resources have been identified and classified in context to a smart city. The number and type of resources may grow dynamically in a smart city, and user's demand may also vary dynamically. Therefore, to maximise the throughput of the system, the resources must be deployed, managed, and used efficiently. This manuscript has identified the concept, role, and composition of the resource manager with respect to an IoT system and presents a game theoretic approach to manage the resources from provider point of view. Using a complete and dynamic use case, including the multiple resources, it illustrates the usability of the proposed approach. The major focus is on the efficient use of IoT resources in a smart city.

A Game Theoretic Approach to Cash Management

1982 ◽  
Vol 55 (3) ◽  
pp. 367 ◽  
Author(s):  
Carl Alan Batlin ◽  
Susan Hinko
Keyword(s):  
Theoretic Approach ◽  
Cash Management ◽  
Game Theoretic ◽  
Game Theoretic Approach
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