Skip to main content
SpringerLink
Log in
Book cover

Nonlinear Science and Complexity pp 221–228Cite as

Three Behavioural Scenarios for Contingent Claims Valuation in Incomplete Markets

  • Chapter

  • 1424 Accesses

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.

This is a preview of subscription content, log in via an institution.

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   129.00
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   169.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD   169.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

References

  1. J. Geanakoplos, H. Polemarchakis, Existence, Regularity and Constrained Suboptimality of Competitive Allocations When the Asset Market Is Incomplete, in Essays in Honour of K. Arrow, vol. III, ed. by W. Heller, D. Starrett (Cambridge University Press, Cambridge, 1986)

    Google Scholar 

  2. I. Karatzas, S. Shreve, Methods of Mathematical Finance (Springer, New York, 1998)

    MATH  Google Scholar 

  3. M. Magill, W. Shafer, Incomplete Markets, in Handbook of Mathematical Economics, vol. IV, ed. by W. Hildenbrand, H. Sonnenschein (North-Holland, Amsterdam, 1991). Chap. 30

    Google Scholar 

  4. D. Hobson, A survey of mathematical finance. Proc. R. Soc. Lond. A 460, 3369–3401 (2004)

    Article  MathSciNet  MATH  Google Scholar 

  5. S.Z. Xanthopoulos, A.N. Yannacopoulos, Scenarios for price determination in incomplete markets. Int. J. Theor. Appl. Finance 11, 415–445 (2008)

    Article  MathSciNet  MATH  Google Scholar 

  6. L. Boukas, D. Pinheiro, A.A. Pinto, S.Z. Xanthopoulos, A.N. Yannacopoulos, Behavioural and dynamical scenarios for contingent claims valuation in incomplete markets. J. Differ. Equ. Appl. (2009, to appear)

    Google Scholar 

  7. A. Mas-Colell, M. Whinston, J.R. Green, Microeconomic Theory (Oxford University Press, New York, 1995)

    MATH  Google Scholar 

Download references

Acknowledgements

We thank the Calouste Gulbenkian Foundation, PRODYN-ESF, POCTI, and POSI by FCT and Ministério da Ciência, Tecnologia e Ensino Superior, Centro de Matemática da Universidade do Minho, CEMAPRE, and Centro de Matemática da Universidade do Porto for their financial support.

S. Xanthopoulos would like to acknowledge that this project is co-funded by the European Social Fund and National Resources—(EPEAEK-II) PYTHAGORAS.

D. Pinheiro would also like to acknowledge the financial support from “Programa Gulbenkian de Estímulo à Investigação 2006” and FCT—Fundação para a Ciência e Tecnologia grant with reference SFRH / BPD / 27151 / 2006.

Author information

Authors and Affiliations

  1. Department of Information & Communication Systems Engineering, University of the Aegean, Samos, Greece

    L. Boukas

  2. CEMAPRE, ISEG, Universidade Técnica de Lisboa, Lisboa, Portugal

    D. Pinheiro

  3. Departamento de Matemática, Universidade do Minho, Braga, Portugal

    A. A. Pinto

  4. Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Samos, Greece

    S. Z. Xanthopoulos

  5. Department of Statistics, Athens University of Economics and Business, Athens, Greece

    A. N. Yannacopoulos

Authors
  1. L. Boukas
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. D. Pinheiro
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. A. A. Pinto
    View author publications

    You can also search for this author in PubMed Google Scholar

  4. S. Z. Xanthopoulos
    View author publications

    You can also search for this author in PubMed Google Scholar

  5. A. N. Yannacopoulos
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to L. Boukas .

Editor information

Editors and Affiliations

  1. Institute of Engineering, Dept. Electrotechnical Engineering, Polytechnic Institute of Porto, Rua Dr. Antonio Bernardino de Almeida 431, Porto, 4200-072, Portugal

    J.A. Tenreiro Machado

  2. Dept. of Mech. & Industr. Engineering, Southern Illinois Univ. Edwardsville, Edwardsville, 62026-1805, Illinois, USA

    Albert C.J. Luo

  3. Institute of Engineering, Dept. Electrotechnical Engineering, Polytechnic Institute of Porto, Rua Dr. Antonio Bernardino de Almeida 431, Porto, 4200-072, Portugal

    Ramiro S. Barbosa

  4. Institute of Engineering, Dept. Electrotechnical Engineering, Polytechnic Institute of Porto, Rua Dr. Antonio Bernardino de Almeida 431, Porto, 4200-072, Portugal

    Manuel F. Silva

  5. Institute of Engineering, Dept. Electrotechnical Engineering, Polytechnic Institute of Porto, Rua Dr. Antonio Bernardino de Almeida 431, Porto, 4200-072, Portugal

    Lino B. Figueiredo

Rights and permissions

Reprints and permissions

Copyright information

© 2011 Springer Science+Business Media B.V.

About this chapter

Cite this chapter

Boukas, L., Pinheiro, D., Pinto, A.A., Xanthopoulos, S.Z., Yannacopoulos, A.N. (2011). Three Behavioural Scenarios for Contingent Claims Valuation in Incomplete Markets. In: Machado, J., Luo, A., Barbosa, R., Silva, M., Figueiredo, L. (eds) Nonlinear Science and Complexity. Springer, Dordrecht. https://doi.org/10.1007/978-90-481-9884-9_27

Download citation

  • DOI: https://doi.org/10.1007/978-90-481-9884-9_27

  • Publisher Name: Springer, Dordrecht

  • Print ISBN: 978-90-481-9883-2

  • Online ISBN: 978-90-481-9884-9

  • eBook Packages: EngineeringEngineering (R0)

Publish with us

Policies and ethics

Search

Navigation