Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets

Lampros Boukas, Diogo Pinheiro, Alberto Pinto, Stylianos Xanthopoulos and Athanasios Yannacopoulos

Papers from arXiv.org

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 modeling the convergence of the buyer's and of the seller's prices to a unique price are proposed.

Date: 2009-03
New Economics Papers: this item is included in nep-mic
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0903.3657

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