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q-fin.MF2020
An Impulse-Regime Switching Game Model of Vertical Competition
René Aïd, Luciano Campi, Liangchen Li +1
We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative up…
q-fin.MF2019
No-Arbitrage Commodity Option Pricing with Market Manipulation
René Aïd, Giorgia Callegaro, Luciano Campi
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a repre…