No-arbitrage commodity option pricing with market manipulation
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Cited by:
- Ren'e Aid & Ofelia Bonesini & Giorgia Callegaro & Luciano Campi, 2021. "A McKean-Vlasov game of commodity production, consumption and trading," Papers 2111.04391, arXiv.org.
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More about this item
Keywords
price manipulation; fair game option pricing; martingale optimality principle; linear-quadratic stochastic differential games;All these keywords.
JEL classification:
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2020-04-27 (Corporate Finance)
- NEP-GTH-2020-04-27 (Game Theory)
- NEP-ORE-2020-04-27 (Operations Research)
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