A short overview of some behavioural scenarios for derivative pricing in incomplete markets

• Type: Article in International Conference Proceedings Book
• Date: 2007

Authors

D. Pinheiro (Author) Other; A. A. Pinto (Author) FCUP; S. Z. Xanthopoulos (Author) Other; A. N. Yannacopoulos (Author) Other

Conference proceedings International

Title: Proceedings in Applied Mathemetics and Mechanics (PAMM)

Pages: 1060309-1060310

Conference in Applied Mathemetics and Mechanics

Weinheim, Germany

Scientific classification

FOS: Natural sciences > Mathematics

Other information

Resumo (PT): We shortly describe three different but related scenarios for determination of asset prices in an incomplete market: one scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Furthermore, we point out some new dynamical schemes modeling the convergence of the buyer’s and of the seller’s prices of a given asset to a unique price.

Abstract (EN): We shortly describe three different but related scenarios for determination of asset prices in an incomplete market: one scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Furthermore, we point out some new dynamical schemes modeling the convergence of the buyer’s and of the seller’s prices of a given asset to a unique price.

Language: English

Type (Professor's evaluation): Scientific