Robust framework for quantifying the value of information in pricing and hedging
We investigate asymmetry of information in the context of the robust approach to pricing and hedging of financial derivatives. We consider two agents, one who only observes the stock prices and another with some additional information, and investigate when the pricing-hedging duality for the former...
| Autori principali: | , , |
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| Natura: | Journal article |
| Lingua: | English |
| Pubblicazione: |
Society for Industrial and Applied Mathematics
2020
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