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A short overview of some behavioural scenarios for derivative pricing in incomplete markets
Author(s) -
Pinheiro D.,
Pinto A. A.,
Xanthopoulos S. Z.,
Yannacopoulos A. N.
Publication year - 2007
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200700980
Subject(s) - regret , derivative (finance) , asset (computer security) , economics , convergence (economics) , microeconomics , capital asset pricing model , point (geometry) , mathematical economics , financial market , financial economics , econometrics , computer science , mathematics , finance , geometry , computer security , machine learning , economic growth
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)