Article
Licensed
Unlicensed
Requires Authentication
Studying anticipation on financial markets via BSDEs with random terminal time
-
Khadija Akdim
Published/Copyright:
May 19, 2008
Abstract
In this paper, we will continue to study a mathematical tool which can be used on a financial market by a “small” investor who possesses some information on the price process. We extend here the results given for hedging strategies under a fixed terminal time to the case of a random terminal time. We extensively use the backward stochastic differential equation theory to give sufficient condition to compare the strategies of an insider trader and the non insider one for an American contingent claim.
Key words.: BSDE; random terminal time; enlarged filtration; asymmetrical information; insider trading; American option
Received: 2007-08-02
Published Online: 2008-05-19
Published in Print: 2008-April
© de Gruyter 2008
You are currently not able to access this content.
You are currently not able to access this content.
Articles in the same Issue
- The modulus of continuity of Wegner estimates for random Schrödinger operators on metric graphs
- Studying anticipation on financial markets via BSDEs with random terminal time
- Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion
- Estimates for the distribution of the supremum of Θ-pre-Gaussian random processes
- Levels of crossing probability for Brownian motion
Keywords for this article
BSDE;
random terminal time;
enlarged filtration;
asymmetrical information;
insider trading;
American option
Articles in the same Issue
- The modulus of continuity of Wegner estimates for random Schrödinger operators on metric graphs
- Studying anticipation on financial markets via BSDEs with random terminal time
- Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion
- Estimates for the distribution of the supremum of Θ-pre-Gaussian random processes
- Levels of crossing probability for Brownian motion
