Three Behavioural Scenarios for Contingent Claims Valuation in Incomplete Markets

• Type: Article in International Conference Proceedings Book
• Date: 2011

Authors

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

Conference proceedings International

Title: Nonlinear Science and Complexity

Pages: 221-228

Indexing

ISI Web of Knowledge - 0 Citations

Scopus - 0 Citations

Scientific classification

FOS: Natural sciences > Mathematics

Other information

Authenticus ID: P-00G-0GB

DOI: 10.1007/978-90-481-9884-9_27

Abstract (EN): We 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.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 8