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
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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