On European option pricing under partial information.

DOI10.1007/S10492-016-0122-1MaRDI QIDQ265152zbMATH OpenOpenAlexFDO

Authors Meng Wu, Jue Lu, Nan-Jing Huang

Publication date 1 April 2016

Published in Applications of Mathematics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10338.dmlcz/144812

zbMATH Keywords

option pricingbackward stochastic differential equationpartial informationEuropean option

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Estimation and detection in stochastic control theory (93E10)

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• A Black-Scholes formula for option pricing with dividends and optimal investment problems under partial information
• Backward Stochastic Differential Equations in Finance
• Forward-backward stochastic differential equations and their applications
• Optimal trading strategy for an investor: the case of partial information
• Stochastic differential equations. An introduction with applications.
• The pricing of options and corporate liabilities
• Utility maximization with partial information

Cited in

(2)

• A Black-Scholes formula for option pricing with dividends and optimal investment problems under partial information
• A Behavioural Approach to the Pricing of European Options

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