Pricing of claims in discrete time with partial information
arXiv:1902.10497 · doi:10.1007/s00245-013-9200-x
Abstract
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.