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Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets
Incomplete markets market games risk sharing regret dynamical schemes
2010/10/29
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based ...
Upper and lower bounds on dynamic risk indifference prices in incomplete markets
Backward stochastic differential equations Dynamic convex risk measures Incomplete markets Indifference pricing
2010/11/2
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon T , this paper proves that for general dynamic convex risk measures, the buyer’s (pbuyer t ) and selle...