\(L^{2}\)-approximating pricing under restricted information

DOI10.1007/s00245-009-9067-zzbMath1228.91078arXiv0708.4095MaRDI QIDQ985719

Teimuraz Toronjadze, Revaz Tevzadze, Michael Mania

Publication date: 6 August 2010

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.4095

zbMATH Keywords

incomplete markets; backward stochastic differential equation; partial information; semimartingale; mean-variance hedging

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

Related Items

DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION, Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting, Power utility maximization under partial information: some convergence results

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