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Nash equilibrium in a game of calibration
| Content Provider | Semantic Scholar |
|---|---|
| Author | Glonti, Omar Harremoës, Peter Khechinashvili, Zaza Topsøe, Flemming |
| Abstract | A general game between market and investor is studied and properties which are based on the notion of Nash equilibrium are derived. The results have the potential to unify and to simplify previous research. As an illustration, a problem of calibration in a simple model of stock price development is treated. A quantitative method is suggested which makes it possible to take belief in a certain trend into account even when there is no empirical evidence available to support such a belief. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.math.ku.dk/~topsoe/finanssubmit.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Calibration Kind of quantity - Equilibrium Nash equilibrium |
| Content Type | Text |
| Resource Type | Article |