$L^2$-approximating pricing under restricted information

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dc.creatorMania, M.
dc.creatorTevzadze, R.
dc.creatorToronjadze, T.
dc.date2007-08-30
dc.date.accessioned2026-07-07T12:05:23Z
dc.date.available2026-07-07T12:05:23Z
dc.descriptionWe 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.
dc.identifierhttps://arxiv.org/abs/0708.4095
dc.identifierhttp://arxiv.org/abs/0708.4095
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208361
dc.subjectPricing of Securities
dc.subjectProbability
dc.subject90A09; 60H30; 90C39.
dc.title$L^2$-approximating pricing under restricted information
dc.typetext

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