Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets

• Type: Article in International Scientific Journal
• Date: 2011

Authors

L. Boukas (Author) Other; D. Pinheiro (Author) Other; A. A. Pinto (Author) FCUP; S. Z. Xantopoulos (Author) Other; A. N. Yannacopoulos (Author) Other

Journal

Title: Journal of Difference Equations and Applications

Vol. 17 No. 7

Pages: 1065-1084

ISSN: 1023-6198

Publisher: Taylor & Francis

Indexing

ISI Web of Knowledge - 3 Citations

ISI Web of Science

Scopus - 3 Citations

Scientific classification

FOS: Natural sciences

Other information

Authenticus ID: P-002-XCA

DOI: 10.1080/10236190902841992

Resumo (PT): 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.

Abstract (EN): 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.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 20