On a variational sequential bargaining pricing scheme

DOI10.1080/02331934.2013.801475zbMath1280.91079OpenAlexW2012829551MaRDI QIDQ5746728

S. Z. Xanthopoulos, Diogo Pinheiro, Athanasios N. Yannacopoulos, N. Monteiro Azevedo

Publication date: 7 February 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2013.801475

zbMATH Keywords

incomplete marketssequential bargainingvariational schemereal asset pricing

Mathematics Subject Classification ID

Convex programming (90C25) Nonlinear programming (90C30) Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

Contingent claim pricing through a continuous time variational bargaining scheme ⋮ Optimization Methods in Mathematical Finance

Cites Work

• 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
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