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Studying anticipation on financial markets via BSDEs with random terminal time
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Khadija Akdim
Veröffentlicht/Copyright:
19. Mai 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
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Artikel in diesem Heft
- 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
Schlagwörter für diesen Artikel
BSDE;
random terminal time;
enlarged filtration;
asymmetrical information;
insider trading;
American option
Artikel in diesem Heft
- 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
