pith. sign in

arxiv: 0903.3657 · v1 · submitted 2009-03-21 · 💱 q-fin.PR · q-fin.GN

Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets

classification 💱 q-fin.PR q-fin.GN
keywords dynamicalincompletemarketpricesscenariosapproachassetbehavioural
0
0 comments X
read the original 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.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.