BFS 2002

Poster Presentation




Game Contingent Claims in Incomplete Markets

Christoph Kühn


A game contingent claim is a generalization of an American contingent claim which also enables the seller to terminate it before maturity, but at the expense of a penalty. We present different approaches to analyze such contracts in the context of incomplete financial markets.       http://www-m1.mathematik.tu-muenchen.de/m4/pers/kuehn/