Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets

We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Dynamical schemes modeling the convergence of the buyer's and of the seller's prices to a unique price are proposed.

MoreLess

Year of publication:	2009-03
Authors:	Boukas, Lampros ; Pinheiro, Diogo ; Pinto, Alberto ; Xanthopoulos, Stylianos ; Yannacopoulos, Athanasios
Institutions:	arXiv.org

More details

Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005084093