1 citations · 1 across the 11 of their papers we have counts for
Showing 2008Show all
2 papers · 1 filter
q-fin.CP2008
On contingent claims pricing in incomplete markets: A risk sharing approach
Michail Anthropelos, Nikolaos E. Frangos, Stylianos Z. Xanthopoulos +1
In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, w…
q-fin.PR2008
On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets
Michail Anthropelos, Gordan Zitkovic
We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assum…