# Pricing of claims in discrete time with partial information

## TL;DR

This paper addresses the problem of pricing contingent claims in discrete time when the seller has delayed information, using duality theory to characterize prices and compare different information scenarios.

## Contribution

It introduces a dual formulation for pricing with delayed information and proves the absence of duality gap, providing a new theoretical framework for such problems.

## Key findings

- Dual problem characterization of prices with delayed information
- Proof of no duality gap in the pricing problem
- Comparison of prices under delayed and full information scenarios

## Abstract

We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller's price of a contingent claim. Finally, we analyze the dual problem, and compare the prices offered by two sellers with delayed and full information respectively.