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.

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Year of publication:	2011-10
Authors:	Boukas, L. ; Pinheiro, Diogo ; Pinto, Alberto A. ; Xanthopoulos, S. Z. ; Yannacopoulos, A. N.
Institutions:	Centro de Matemática Aplicada à Previsão e Decisão Económica (CEMAPRE), Instituto Superior de Economia e Gestão (ISEG)
Subject:	Incomplete markets \| market games \| risk sharing \| regret \| dynamical schemes

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Extent:	application/pdf
Series:	CEMAPRE Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1103 18 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010578425