| dc.date.accessioned | 2014-05-08T10:00:27Z | |
| dc.date.available | 2014-05-08T10:00:27Z | |
| dc.date.issued | 2013 | en_US |
| dc.date.submitted | 2013-05-21 | en_US |
| dc.identifier.citation | Dahl, Kristina Rognlien. Pricing of claims in discrete time with partial information. Applied mathematics and optimization | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/39153 | |
| dc.description.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.
The final publication is available at Springer | eng |
| dc.language.iso | eng | en_US |
| dc.title | Pricing of claims in discrete time with partial information | en_US |
| dc.type | Journal article | en_US |
| dc.date.updated | 2014-05-06 | en_US |
| dc.creator.author | Dahl, Kristina Rognlien | en_US |
| dc.subject.nsi | VDP::400 | en_US |
| cristin.unitcode | 150000 | en_US |
| cristin.unitname | Matematisk-naturvitenskapelige fakultet | en_US |
| dc.identifier.cristin | 1020262 | en_US |
| dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Applied mathematics and optimization | en_US |
| dc.identifier.jtitle | Applied mathematics and optimization | |
| dc.identifier.volume | 68 | |
| dc.identifier.issue | 2 | |
| dc.identifier.startpage | 145 | |
| dc.identifier.endpage | 155 | |
| dc.identifier.doi | http://dx.doi.org/10.1007/s00245-013-9200-x | |
| dc.identifier.urn | URN:NBN:no-44057 | |
| dc.type.document | Tidsskriftartikkel | en_US |
| dc.identifier.duo | 180931 | en_US |
| dc.type.peerreviewed | Peer reviewed | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/39153/1/DahlPartialInfo.pdf | |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/39153/2/DahlPartialInfo.tex | |
| dc.type.version | AcceptedVersion | |