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

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