A convex duality approach for pricing contingent claims under partial information and short selling constraints

DOI10.1080/07362994.2016.1255147zbMath1365.49033arXiv1902.10492OpenAlexW2565945761MaRDI QIDQ2974045

Kristina Rognlien Dahl

Publication date: 6 April 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.10492

zbMATH Keywords

mathematical financepricingpartial informationconjugate dualityconstraint stochastic optimization problem

Mathematics Subject Classification ID

Convex programming (90C25) Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)

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