Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets

Economy – Quantitative Finance – Pricing of Securities

Scientific paper

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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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