Contingent claim pricing through a continuous time variational bargaining scheme
We consider a variational problem modelling the evolution with time of two probability measures representing the subjective beliefs of a couple of agents engaged in a continuous-time bargaining pricing scheme with the goal of finding a unique price for a contingent claim in a continuous-time financi...
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| Outros Autores: | , , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2017
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10400.22/9078 |
| País: | Portugal |
| Oai: | oai:recipp.ipp.pt:10400.22/9078 |