Please use this identifier to cite or link to this item:
https://hdl.handle.net/10216/100202
Author(s): | D. Pinheiro A. A. Pinto S. Z. Xanthopoulos A. N. Yannacopoulos |
Title: | A short overview of some behavioural scenarios for derivative pricing in incomplete markets |
Issue Date: | 2007 |
Abstract: | We shortly describe three different but related scenarios for determination of asset prices in an incomplete market: onescenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations.Furthermore, we point out some new dynamical schemes modeling the convergence of the buyer's and of the seller's pricesof a given asset to a unique price. |
Description: | We shortly describe three different but related scenarios for determination of asset prices in an incomplete market: onescenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations.Furthermore, we point out some new dynamical schemes modeling the convergence of the buyer's and of the seller's pricesof a given asset to a unique price. |
Subject: | Matemática Mathematics |
Scientific areas: | Ciências exactas e naturais::Matemática Natural sciences::Mathematics |
URI: | https://repositorio-aberto.up.pt/handle/10216/100202 |
Source: | Proceedings in Applied Mathemetics and Mechanics (PAMM) |
Document Type: | Artigo em Livro de Atas de Conferência Internacional |
Rights: | restrictedAccess |
Appears in Collections: | FCUP - Artigo em Livro de Atas de Conferência Internacional |
Files in This Item:
File | Description | Size | Format | |
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49234.pdf Restricted Access | 41.7 kB | Adobe PDF | Request a copy from the Author(s) |
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