On European option pricing under partial information.

DOI10.1007/S10492-016-0122-1zbMath1389.93226OpenAlexW2300328558MaRDI QIDQ265152

Jue Lu, Meng Wu, Nan-Jing Huang

Publication date: 1 April 2016

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10338.dmlcz/144812

zbMATH Keywords

option pricingbackward stochastic differential equationpartial informationEuropean option

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Forward-backward stochastic differential equations and their applications
• Optimal trading strategy for an investor: the case of partial information
• Utility maximization with partial information
• Backward Stochastic Differential Equations in Finance
• Stochastic differential equations. An introduction with applications.
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