CEMAPRE Seminar

Friday, November 14, 2008

Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets


Diogo Pinheiro
(CEMAPRE - ISEG)

Abstract: We describe three different but related scenarios for determination of asset prices in an incomplete market: one scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Furthermore, we point out some new dynamical schemes modelling the convergence of the buyer's and of the seller's prices of a given asset to a unique price.

Friday, November 14, 2008
Time: 11h00
Room: Sala Delta, Edificio Quelhas, ISEG
http://cemapre.iseg.ulisboa.pt/seminars/cemapre/