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 Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon in its series CEMAPRE Working Papers with number 1103.
Length: 18 pages
Date of creation: Oct 2011
Date of revision:
Incomplete markets; market games; risk sharing; regret; dynamical schemes;
Other versions of this item:
- Lampros Boukas & Diogo Pinheiro & Alberto Pinto & Stylianos Xanthopoulos & Athanasios Yannacopoulos, 2009. "Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets," Papers 0903.3657, arXiv.org.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- A. Gamba & P. Pellizzari, 1999. "Utility based pricing of contingent claims," Finance 9902003, EconWPA, revised 14 Oct 2002.
- Andrea Gam & Paolo Pellizzari, 2002. "Utility based pricing of contingent claims in incomplete markets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(4), pages 241-260.
- Flam, Sjur Didrik, 1996. "Approaches to economic equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 20(9-10), pages 1505-1522.
- Magill, Michael & Shafer, Wayne, 1991. "Incomplete markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 30, pages 1523-1614 Elsevier.
- Peter B. Linhart, 2001. "original papers : Bargaining solutions with non-standard objectives," Review of Economic Design, Springer, vol. 6(2), pages 225-239.
- D. Pinheiro & A. A. Pinto & S. Z. Xanthopoulos & A. N. Yannacopoulos, 2011.
"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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