• Pierre Bernhard
  • Jacob C. Engwerda
  • Berend Roorda
  • J. M. Schumacher
  • Vassili Kolokoltsov
  • Patrick Saint-Pierre
  • Jean Pierre Aubin

We recall here the basics of the most classic result of option pricing, perhaps the most famous result in mathematical finance: the Black–Scholes theory for the pricing of “European options” in a perfect market, infinitely divisible and liquid, with no “friction” such as transaction costs or information lag. However, in keeping with the spirit of this volume, we derive it via a game-theoretic approach, devoid of any probabilities.

Original languageEnglish
Title of host publicationStatic and Dynamic Game Theory
Subtitle of host publicationFoundations and Applications
PublisherBirkhäuser Verlag AG
Pages17-26
Number of pages10
Edition9780817683870
DOIs
StatePublished - 1 Jan 2013

Publication series

NameStatic and Dynamic Game Theory: Foundations and Applications
Number9780817683870
ISSN (Print)2363-8516
ISSN (Electronic)2363-8524

    Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

    Research areas

  • Black and Scholes, Quadratic variation

ID: 51531726