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Applied Mathematics and Optimization, Vol.68, No.2, 145-155, 2013
Pricing of Claims in Discrete Time with Partial Information
We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller's price of a contingent claim. Finally, we analyze the dual problem, and compare the prices offered by two sellers with delayed and full information respectively.