Work

$L^2$-approximating pricing under restricted information

Year: 2007

Type: preprint

Abstract: 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 differential equations for the value process of the problem.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.0708.4095

Authors: Mania, M., Tevzadze, R., Toronjadze, T.

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2952934376

Cites: 18

Cited by:

Related to: 20