English, Article edition: SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS S. Z. XANTHOPOULOS; A. N. YANNACOPOULOS

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Physical Description
  • article
Language
  • English

Edition details

Title
  • SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS
Author
  • S. Z. XANTHOPOULOS
  • A. N. YANNACOPOULOS
Physical Description
  • article
Notes
  • We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios, based on utility pricing. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Dynamical schemes modeling the convergence of the buyer and seller prices to a unique price are proposed. The case of exponential utilities is treated in detail, in the simplest possible example of an incomplete market, the trinomial model.
  • Incomplete markets, market games, risk sharing, regret, dynamical schemes
  • RePEc:wsi:ijtafx:v:11:y:2008:i:05:p:415-445
Language
  • English
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