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Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets

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  • Lampros Boukas
  • Diogo Pinheiro
  • Alberto Pinto
  • Stylianos Xanthopoulos
  • Athanasios Yannacopoulos

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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File URL: http://arxiv.org/pdf/0903.3657
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Paper provided by arXiv.org in its series Papers with number 0903.3657.

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Date of creation: Mar 2009
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Handle: RePEc:arx:papers:0903.3657

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  1. Peter B. Linhart, 2001. "original papers : Bargaining solutions with non-standard objectives," Review of Economic Design, Springer, Springer, vol. 6(2), pages 225-239.
  2. Andrea Gam & Paolo Pellizzari, 2002. "Utility based pricing of contingent claims in incomplete markets," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(4), pages 241-260.
  3. Flam, Sjur Didrik, 1996. "Approaches to economic equilibrium," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 20(9-10), pages 1505-1522.
  4. Magill, Michael & Shafer, Wayne, 1991. "Incomplete markets," Handbook of Mathematical Economics, Elsevier, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 30, pages 1523-1614 Elsevier.
  5. A. Gamba & P. Pellizzari, 1999. "Utility based pricing of contingent claims," Finance, EconWPA 9902003, EconWPA, revised 14 Oct 2002.
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Cited by:
  1. D. Pinheiro & A. A. Pinto & S. Z. Xanthopoulos & A. N. Yannacopoulos, 2011. "A projected gradient dynamical system modeling the dynamics of bargaining," Papers 1105.1767, arXiv.org, revised Sep 2011.

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