Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets

L. Boukas, Diogo Pinheiro, Alberto Pinto, S. Xanthopoulos and A. Yannacopoulos
Additional contact information
Alberto Pinto: Department of Mathematics, Faculty of Science, University of Porto
S. Xanthopoulos: University of the Aegean, Samos, Greece
A. Yannacopoulos: Athens University of Economics and Business, Athens, Greece

No 1103, CEMAPRE Working Papers from Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon

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.

Keywords: Incomplete markets; market games; risk sharing; regret; dynamical schemes (search for similar items in EconPapers)
Pages: 18 pages
Date: 2011-10
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets (2009)
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