Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets

Details Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets

2009-03-21

arxiv.org/abs/0903.3657v1

Economy

Quantitative Finance

Pricing of Securities

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

Scientific paper

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.

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