The Value of Information for Pricing and Hedging


We explore the difference of pricing and hedging problems for agents with different information in a robust approach. The notion of information is naturally linked with sigma-algebras which is made operational by looking at... [ view full abstract ]


  1. Jan Obloj (University of Oxford)
  2. Anna Aksamit (University of Sydney)

Topic Areas

Arbitrage Theory , Information Models , Robustness


WE-A-DA » The Value of Information (11:30 - Wednesday, 18th July, Davis)

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