Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets

DOI10.1080/10236190902841992zbMath1219.91054arXiv0903.3657OpenAlexW1975195988MaRDI QIDQ3090075

L. A. Boukas, S. Z. Xanthopoulos, Alberto A. Pinto, Athanasios N. Yannacopoulos, Diogo Pinheiro

Publication date: 26 August 2011

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.3657

zbMATH Keywords

incomplete marketsrisk sharingregretmarket gamesdynamical schemes

Mathematics Subject Classification ID

Related Items (3)

Contingent claim pricing through a continuous time variational bargaining scheme ⋮ A projected gradient dynamical system modelling the dynamics of bargaining ⋮ On a variational sequential bargaining pricing scheme

Cites Work

• Unnamed Item
• Unnamed Item
• Review Paper. A survey of mathematical finance
• Bargaining under Incomplete Information
• SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS
• Utility based pricing of contingent claims in incomplete markets

This page was built for publication: Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets