Pricing of claims in discrete time with partial information (Q2441467): Difference between revisions
From MaRDI portal
Revision as of 11:56, 7 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of claims in discrete time with partial information |
scientific article |
Statements
Pricing of claims in discrete time with partial information (English)
0 references
24 March 2014
0 references
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.
0 references
mathematical finance
0 references
Lagrange duality
0 references
delayed information
0 references
pricing
0 references
