$L^2$-approximating pricing under restricted information

Economy – Quantitative Finance – Pricing of Securities

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Scientific paper

We consider the mean-variance hedging problem under partial information in the case where the flow of observable events does not contain the full information on the underlying asset price process. We introduce a martingale equation of a new type and characterize the optimal strategy in terms of the solution of this equation. We give relations between this equation and backward stochastic differential equations for the value process of the problem.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

$L^2$-approximating pricing under restricted information does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with $L^2$-approximating pricing under restricted information, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and $L^2$-approximating pricing under restricted information will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-205739

All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.