L 2-approximating Pricing under Restricted Information
نویسندگان
چکیده
منابع مشابه
L-approximating pricing under restricted information
We consider the mean-variance hedging problem under partial information in the case where the flow of observable events does not contain the full information on the underlying asset price process. We introduce a martingale equation of a new type and characterize the optimal strategy in terms of the solution of this equation. We give relations between this equation and backward stochastic differ...
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ژورنال
عنوان ژورنال: Applied Mathematics and Optimization
سال: 2009
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-009-9067-z