英文标题：
《A convex duality approach for pricing contingent claims under partial
information and short selling constraints》
---
作者：
Kristina Rognlien Dahl
---
最新提交年份：
2019
---
英文摘要：
We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing problem, which is our primal problem, is a constrained stochastic optimization problem. We derive a dual to this problem by using the conjugate duality theory introduced by Rockafellar. Furthermore, we give conditions for strong duality to hold. This gives a characterization of the price of the claim involving martingale- and super-martingale conditions on the optional projection of the price processes.
---
中文摘要：
我们考虑或有索赔卖方面临的定价问题。我们假设该卖方有一些一般水平的部分信息，并且不允许他卖空某些资产。这个定价问题是我们的首要问题，是一个约束随机优化问题。我们利用Rockafellar提出的共轭对偶理论导出了这个问题的对偶。此外，我们给出了强对偶成立的条件。这给出了在价格过程的可选投影上涉及鞅和超鞅条件的索赔价格的一个特征。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--
一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
--

---
PDF下载：
-->