\(L^{2}\)-approximating pricing under restricted information
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Publication:985719
DOI10.1007/s00245-009-9067-zzbMath1228.91078arXiv0708.4095OpenAlexW2071395740MaRDI QIDQ985719
Teimuraz Toronjadze, Revaz Tevzadze, Michael Mania
Publication date: 6 August 2010
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0708.4095
incomplete marketsbackward stochastic differential equationpartial informationsemimartingalemean-variance hedging
Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
Related Items (3)
Power utility maximization under partial information: some convergence results ⋮ DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION ⋮ Power Utility Maximization Problems Under Partial Information and Information Sufficiency in a Brownian Setting
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