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arXiv · 1902.10497

Pricing of claims in discrete time with partial information

Kristina Rognlien Dahl
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Abstract

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.

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Kristina Rognlien Dahl. 2019-02-27. Pricing of claims in discrete time with partial information. https://doi.org/10.1007/s00245-013-9200-x

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