Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0903.3657.
Date of creation: Mar 2009
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Web page: http://arxiv.org/
Other versions of this item:
- L. Boukas & Diogo Pinheiro & Alberto A. Pinto & S. Z. Xanthopoulos & A. N. Yannacopoulos, 2011. "Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets," CEMAPRE Working Papers 1103, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
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"A projected gradient dynamical system modeling the dynamics of bargaining,"
1105.1767, arXiv.org, revised Sep 2011.
- Diogo Pinheiro & Alberto A. Pinto & S. Z. Xanthopoulos & A. N. Yannacopoulos, 2011. "A projected gradient dynamical system modeling the dynamics of bargaining," CEMAPRE Working Papers 1101, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
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