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Creators/Authors contains: "Koerner, Jake"

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  1. ; ; (, Missouri Journal of Mathematical Sciences)
    On a finite probability space, we consider the problem of fair pricing of contingent claims and its sensitivity to a distortion of information, where we follow the weak information modeling approach. We show that, in complete models, or more generally, for replicable contingent claims, the weak information does not affect the fair price. For incomplete models, this is not the case for non-replicable claims, where we obtain explicit formulas for the information premium and correction to an optimal trading strategy. We illustrate our results by an example, where we demon- strate that under weak information, the fair price can increase, stay the same, or decrease. Finally, we perform the stability analysis for the information premium and the correction of the optimal trading strategy to perturbations of the contingent claim payoff, stock price dynamics, and the reference probability measure. 
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