Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets

• Tipo: Artigo em Revista Científica Internacional
• Data: 2011

Autores

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

Revista

Título: Journal of Difference Equations and Applications

Vol. 17 Nº 7

Páginas: 1065-1084

ISSN: 1023-6198

Editora: Taylor & Francis

Indexação

ISI Web of Knowledge - 3 Citações

ISI Web of Science

Scopus - 3 Citações

Classificação Científica

FOS: Ciências exactas e naturais

Outras Informações

ID Authenticus: 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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 20