A contingent claim approach to performance evaluation
نویسندگان
چکیده
منابع مشابه
Contingent claim pricing through a continuous time variational bargaining scheme
We consider a variational problem modelling the evolution with time of two probability measures representing the subjective beliefs of a couple of agents engaged in a continuous-time bargaining pricing scheme with the goal of finding a unique price for a contingent claim in a continuous-time financial market. This optimization problem is coupled with two finite dimensional portfolio optimizatio...
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The existence of an adapted solution to a backward stochastic differential equation which is not adapted to the ltration of the underlying Brownian motion is proved. This result is applied to the pricing of contingent claims. It allows to compare the prices of agents who have di erent information about the evolution of the market. The problem is considered in both the classical and the F ollme...
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The problem of planning in the presence of sensing has been addressed in recent years as a nondeterministic search problem in belief space. In this work, we use ideas advanced recently for compiling conformant problems into classical ones for introducing a different approach where contingent problems P are mapped into non-deterministic problems X(P ) in state space. We also identify a contingen...
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 1994
ISSN: 0927-5398
DOI: 10.1016/0927-5398(94)90001-9