skip to main content

Title: Pricing of Claims in Discrete Time with Partial Information

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.
Authors:
 [1]
  1. University of Oslo, Department of Mathematics (Norway)
Publication Date:
OSTI Identifier:
22210465
Resource Type:
Journal Article
Resource Relation:
Journal Name: Applied Mathematics and Optimization; Journal Volume: 68; Journal 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)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; CALCULATION METHODS; COMPARATIVE EVALUATIONS; DUALITY; INFORMATION; MARKETERS; PRICES