The Informed and Uninformed Agent´s Price of a Contingent Claim

Kohlmann, Michael; Zhou, Xun Yu

The Informed and Uninformed Agent´s Price of a Contingent Claim

Dateien

409_1.pdfGröße: 223.97 KBDownloads: 159

Datum

1999

Autor:innen

Kohlmann, Michael

Zhou, Xun Yu

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Mathematik und Statistik

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

The existence of an adapted solution to a backward stochastic differential equation which is not adapted to the filtration of the underlying Brownian motion is proved. This result is applied to the pricing of contigent claims. It allows to compare the prices of agents who have different information about the evolution of the market. The problem is considered in both the classical and the Föllmer-Schweizer hedging case.

Fachgebiet (DDC)

510 Mathematik

Schlagwörter

backward stochastic differential equations, pricing of contigent claims, anticipative information

Zitieren

ISO 690

KOHLMANN, Michael, Xun Yu ZHOU, 1999. The Informed and Uninformed Agent´s Price of a Contingent Claim

BibTex

@techreport{Kohlmann1999Infor-565,
  year={1999},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={The Informed and Uninformed Agent´s Price of a Contingent Claim},
  number={1999/11},
  author={Kohlmann, Michael and Zhou, Xun Yu}
}

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Universitätsbibliographie

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