Abstract

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 modeling the convergence of the buyer and seller prices to a unique price are proposed. The case of exponential utilities is treated in detail, in the simplest possible example of an incomplete market, the trinomial model.

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