XANTHOPOULOS, S. Z.; YANNACOPOULOS, A. N. - In: International Journal of Theoretical and Applied … 11 (2008) 05, pp. 415-445
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...