| Abstrakt: |
Abstract: We consider a European option pricing problem under a partial information market, i.e., only the security´s price can be observed, the rate of return and the noise source in the market cannot be observed. To make the problem tractable, we focus on gap option which is a generalized form of the classical European option. By using the stochastic analysis and filtering technique, we derive a Black-Scholes formula for gap option pricing with dividends under partial information. Finally, we apply filtering technique to solve a utility maximization problem under partial information through transforming the problem under partial information into the classical problem. |
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