Pricing of claims in discrete time with partial information (Q2441467): Difference between revisions
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Latest revision as of 16:00, 18 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of claims in discrete time with partial information |
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Pricing of claims in discrete time with partial information (English)
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24 March 2014
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The author analyzes the seller's pricing problem with partial information via Lagrange duality, together with its dual problem, on a finite scenario space and in a discrete time setting.
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mathematical finance
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Lagrange duality
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delayed information
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pricing
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