On European option pricing under partial information.

DOI10.1007/S10492-016-0122-1zbMATH Open1389.93226OpenAlexW2300328558MaRDI QIDQ265152FDOQ265152

Jue Lu, Meng Wu, 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

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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)

Cites Work

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

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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