Robust Framework for Quantifying the Value of Information in Pricing and Hedging (Q5112530)
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scientific article; zbMATH DE number 7206669
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust Framework for Quantifying the Value of Information in Pricing and Hedging |
scientific article; zbMATH DE number 7206669 |
Statements
Robust Framework for Quantifying the Value of Information in Pricing and Hedging (English)
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29 May 2020
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robustness superhedging
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pricing-hedging duality
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informed investor
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asymmetry of information
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filtration enlargement
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path restrictions
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dynamic programming principle
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modeling with beliefs
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