Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets

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

Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets

Pricing of Securities 2009-03-24 v1 General Finance

Authors: 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.

Keywords

incomplete markets contingent claims valuation market game risk sharing regret minimization asset pricing price convergence

Cite

@article{arxiv.0903.3657,
  title  = {Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets},
  author = {Lampros Boukas and Diogo Pinheiro and Alberto Pinto and Stylianos Xanthopoulos and Athanasios Yannacopoulos},
  journal= {arXiv preprint arXiv:0903.3657},
  year   = {2009}
}

Comments

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

Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets

Abstract

Keywords

Cite

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