A short overview of some behavioural scenarios for derivative pricing in incomplete markets

D. Pinheiro; A. A. Pinto; S. Z. Xanthopoulos; A. N. Yannacopoulos

Please use this identifier to cite or link to this item: https://hdl.handle.net/10216/100202

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DC Field	Value	Language
dc.creator	D. Pinheiro
dc.creator	A. A. Pinto
dc.creator	S. Z. Xanthopoulos
dc.creator	A. N. Yannacopoulos
dc.date.accessioned	2019-02-05T00:56:44Z	-
dc.date.available	2019-02-05T00:56:44Z	-
dc.date.issued	2007
dc.identifier.other	sigarra:49234
dc.identifier.uri	https://repositorio-aberto.up.pt/handle/10216/100202	-
dc.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.
dc.description.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.
dc.language.iso	eng
dc.relation.ispartof	Proceedings in Applied Mathemetics and Mechanics (PAMM)
dc.rights	restrictedAccess
dc.subject	Matemática
dc.subject	Mathematics
dc.title	A short overview of some behavioural scenarios for derivative pricing in incomplete markets
dc.type	Artigo em Livro de Atas de Conferência Internacional
dc.contributor.uporto	Faculdade de Ciências
dc.subject.fos	Ciências exactas e naturais::Matemática
dc.subject.fos	Natural sciences::Mathematics
Appears in Collections:	FCUP - Artigo em Livro de Atas de Conferência Internacional

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