Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets

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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.
18 pages. To appear in Journal of Difference Equations and Applications

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Pricing of Securities, General Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/224277

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0903.3657
 http://arxiv.org/abs/0903.3657

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arXiv