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Orientador(es)
Resumo(s)
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 financialmarket. This optimization problem is coupled
with two finite dimensional portfolio optimization problems, one for each agent involved in
the bargaining scheme. Undermild conditions, we prove that the optimization problem under
consideration here admits a unique solution, yielding a unique price for the contingent claim.
Descrição
Palavras-chave
Variational scheme Incomplete markets Real asset pricing