Contingent claim pricing through a continuous time variational bargaining scheme

DOI10.1007/S10479-015-2089-9MaRDI QIDQ1703541zbMATH OpenOpenAlexFDO

Authors S. Z. Xanthopoulos, N. Azevedo, D. Pinheiro, Athanasios Yannacopoulos

Publication date 2 March 2018

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10400.22/9078

zbMATH Keywords

incomplete marketsvariational schemereal asset pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

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• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 3399886 (Why is no real title available?)
• A projected gradient dynamical system modelling the dynamics of bargaining
• Applied stochastic control of jump diffusions.
• Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets
• On a variational sequential bargaining pricing scheme
• SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS

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(2)

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