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Статья опубликована в журнале из списка Web of Science и/или Scopus
Дата последнего поиска статьи во внешних источниках: 17 августа 2021 г.
Аннотация:A type of security is proposed that combines the possibilities of simultaneous exercise of infinite call and put options on a common stock by two market players. A zero-sum game is defined in which the players apply threshold exercise strategies. We show that unique best response functions exist for the players, and the game has a solution in pure strategies. A method to search for a saddle point is suggested.