$L^2$ -受限信息下的近似定价
$L^2$-approximating pricing under restricted information
摘要：
在可观察事件流不包含标的资产价格过程的全部信息的情况下，考虑部分信息下的均值-方差套期保值问题。引入了一种新的鞅方程，并利用该方程的解刻画了最优策略。对于问题的值过程，给出了该方程与倒向随机微分方程的关系。
英文摘要：
We consider the mean-variance hedging problem under partial information in the case where the flow of observable events does not contain the full information on the underlying asset price process. We introduce a martingale equation of a new type and characterize the optimal strategy in terms of the solution of this equation. We give relations between this equation and backward stochastic differential equations for the value process of the problem.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
