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@article{Biffis:2023:10.1007/s11579-022-00331-7,
author = {Biffis, E and Goldys, B and Prosdocimi, C and Zanella, M},
doi = {10.1007/s11579-022-00331-7},
journal = {Mathematics and Financial Economics},
pages = {175--202},
title = {A pricing formula for delayed claims: appreciating the past to value the future},
url = {http://dx.doi.org/10.1007/s11579-022-00331-7},
volume = {17},
year = {2023}
}

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TY  - JOUR
AB  - We consider the valuation of contingent claims with delayed dynamics in a Samuelson complete market model. We find a pricing formula that can be decomposed into terms reflecting the current market values of the past and the future, showing how the valuation of prospective cashflows cannot abstract away from the contribution of the past. As a practical application, we provide an explicit expression for the market value of human capital in a setting with wage rigidity. The formula we derive has successfully been used to explicitly solve the infinite dimensional stochastic control problems addressed in Biffis et al. (SIAM J Control Optim 58(4):1906–1938, 2020), Djeiche et al. (Stoch Process Appl 145:48–85, 2022) and Biagini et al. (SIAM J Financial Math 13(3):1004–1039, 2022).
AU  - Biffis,E
AU  - Goldys,B
AU  - Prosdocimi,C
AU  - Zanella,M
DO  - 10.1007/s11579-022-00331-7
EP  - 202
PY  - 2023///
SN  - 1862-9660
SP  - 175
TI  - A pricing formula for delayed claims: appreciating the past to value the future
T2  - Mathematics and Financial Economics
UR  - http://dx.doi.org/10.1007/s11579-022-00331-7
UR  - https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000913559100001&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=a2bf6146997ec60c407a63945d4e92bb
UR  - https://link.springer.com/article/10.1007/s11579-022-00331-7
UR  - http://hdl.handle.net/10044/1/101738
VL  - 17
ER  -

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