Contingent claim pricing through a continuous time variational bargaining scheme

DOI10.1007/s10479-015-2089-9zbMath1404.91254OpenAlexW2304365941MaRDI QIDQ1703541

S. Z. Xanthopoulos, Diogo Pinheiro, Athanasios N. Yannacopoulos, N. Monteiro Azevedo

Publication date: 2 March 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10400.22/9078

zbMATH Keywords

incomplete marketsvariational schemereal asset pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Applied stochastic control of jump diffusions.
• Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets
• SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS
• A projected gradient dynamical system modelling the dynamics of bargaining
• On a variational sequential bargaining pricing scheme
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