The Informed and Uninformed Agent´s Price of a Contingent Claim
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| Type of Publication: | Working Paper/Technical Report |
| URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-4096 |
| Author: | Kohlmann, Michael; Zhou, Xun Yu |
| Year of publication: | 1999 |
| Series: | CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie ; 1999/11 |
| Summary: |
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.
|
| Subject (DDC): | 510 Mathematics |
| Keywords: | backward stochastic differential equations, pricing of contigent claims, anticipative information |
| Link to License: | In Copyright |
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KOHLMANN, Michael, Xun Yu ZHOU, 1999. The Informed and Uninformed Agent´s Price of a Contingent Claim
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