\(L^{2}\)-approximating pricing under restricted information
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Publication:985719
DOI10.1007/s00245-009-9067-zzbMath1228.91078arXiv0708.4095MaRDI QIDQ985719
Revaz Tevzadze, Teimuraz Toronjadze, 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
incomplete markets; backward stochastic differential equation; partial information; semimartingale; mean-variance hedging
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
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