SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS

DOI10.1142/S0219024908004877zbMath1291.91214OpenAlexW2120631887MaRDI QIDQ3527431

S. Z. Xanthopoulos, Athanasios N. Yannacopoulos

Publication date: 29 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024908004877

zbMATH Keywords

incomplete marketsrisk sharingregretmarket gamesdynamical schemes

Mathematics Subject Classification ID

Related Items (4)

Contingent claim pricing through a continuous time variational bargaining scheme ⋮ On a variational sequential bargaining pricing scheme ⋮ Pricing and hedging in incomplete markets with model uncertainty ⋮ Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets

Cites Work

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• Risk measure pricing and hedging in incomplete markets
• Inf-convolution of risk measures and optimal risk transfer
• Review Paper. A survey of mathematical finance
• Bargaining under Incomplete Information
• Fundamental Theorems of Asset Pricing for Good Deal Bounds
• Bargaining solutions with non-standard objectives

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