A short overview of some behavioural scenarios for derivative pricing in incomplete markets
We shortly describe three different but related scenarios for determination of asset prices in an incomplete market: one scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Furthermore, we point out some new dynamical schemes mode...
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| Veröffentlicht in: | Proceedings in applied mathematics and mechanics 2007-12, Vol.7 (1), p.1060309-1060310 |
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| Hauptverfasser: | , , , |
| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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| Zusammenfassung: | We shortly describe three different but related scenarios for determination of asset prices in an incomplete market: one scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Furthermore, we point out some new dynamical schemes modeling the convergence of the buyer's and of the seller's prices of a given asset to a unique price. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim) |
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| ISSN: | 1617-7061 1617-7061 |
| DOI: | 10.1002/pamm.200700980 |