Minimax theorems for American options without time-consistency
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References listed on IDEAS
- Amarante, Massimiliano, 2014.
"A characterization of exact non-atomic market games,"
Journal of Mathematical Economics,
Elsevier, vol. 54(C), pages 59-62.
- Massimiliano AMARANTE, 2013. "A Characterization of Exact Non-atomic Market Games," Cahiers de recherche 12-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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More about this item
KeywordsMinimax; Lower Snell envelope; Time-consistency; Nearly sub-Gaussian random fields; Metric entropies; Simons’ lemma;
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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