A short overview of some behavioural scenarios for derivative pricing in incomplete markets

Abstract

We shortly 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 modeling the convergence of the buyer's and of the seller's prices of a given asset to a unique price. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)