Please use this identifier to cite or link to this item:
https://hdl.handle.net/10216/99676| Author(s): | L. Boukas D. Pinheiro A. A. Pinto S. Z. Xantopoulos A. N. Yannacopoulos |
| Title: | Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets |
| Issue Date: | 2011 |
| Abstract: | 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 modelling the convergence of the buyer's and of the seller's prices to a unique price are proposed. |
| Description: | 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 modelling the convergence of the buyer's and of the seller's prices to a unique price are proposed. |
| Subject: | Ciências exactas e naturais Natural sciences |
| Scientific areas: | Ciências exactas e naturais Natural sciences |
| DOI: | 10.1080/10236190902841992 |
| URI: | https://hdl.handle.net/10216/99676 |
| Document Type: | Artigo em Revista Científica Internacional |
| Rights: | restrictedAccess |
| Appears in Collections: | FCUP - Artigo em Revista Científica Internacional |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| 49064.pdf Restricted Access | 207.2 kB | Adobe PDF | View/Open |
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