Pricing of Claims in Discrete Time with Partial Information
Journal Article
·
· Applied Mathematics and Optimization
- University of Oslo, Department of Mathematics (Norway)
We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller's price of a contingent claim. Finally, we analyze the dual problem, and compare the prices offered by two sellers with delayed and full information respectively.
- OSTI ID:
- 22210465
- Journal Information:
- Applied Mathematics and Optimization, Vol. 68, Issue 2; Other Information: Copyright (c) 2013 Springer Science+Business Media New York; http://www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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