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arXiv · 0903.3657

Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets

Lampros Boukas·Diogo Pinheiro·Alberto Pinto·Stylianos Xanthopoulos·Athanasios Yannacopoulos
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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.

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Lampros Boukas, Diogo Pinheiro, Alberto Pinto, Stylianos Xanthopoulos, Athanasios Yannacopoulos. 2009-03-21. Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets. https://arxiv.org/abs/0903.3657

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