Contingent claim pricing through a continuous time variational bargaining scheme

DOI10.1007/S10479-015-2089-9zbMATH Open1404.91254OpenAlexW2304365941MaRDI QIDQ1703541FDOQ1703541

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

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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)

Cites Work

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• Applied stochastic control of jump diffusions.
• Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets
• SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS
• A projected gradient dynamical system modelling the dynamics of bargaining
• On a variational sequential bargaining pricing scheme

Cited In (2)

• Title not available (Why is that?)
• On a variational sequential bargaining pricing scheme

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