Pricing of claims in discrete time with partial information

DOI10.1007/s00245-013-9200-xzbMath1286.91140arXiv1902.10497OpenAlexW1988345470MaRDI QIDQ2441467

Kristina Rognlien Dahl

Publication date: 24 March 2014

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

Full work available at URL: https://arxiv.org/abs/1902.10497

zbMATH Keywords

mathematical financepricingLagrange dualitydelayed information

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty

Cites Work

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• Partial Information Linear Quadratic Control for Jump Diffusions

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