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

Publikationstyp: Working Paper/Technical Report
URI (zitierfähiger Link): http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-4096
Autor/innen: Kohlmann, Michael; Zhou, Xun Yu
Erscheinungsjahr: 1999
Schriftenreihe: CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie ; 1999/11
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
Link zur Lizenz: Nutzungsbedingungen

Zitieren

Dateien zu dieser Ressource

[PDF]
Name: 409_1.pdf
Größe: 223.9Kb
Format: PDF
Öffnen
Prüfsumme: MD5:8bf7813d4567e7692e46a6c44b8d2eee

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

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

<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/565"> <dc:contributor>Zhou, Xun Yu</dc:contributor> <dcterms:issued>1999</dcterms:issued> <dcterms:abstract xml:lang="eng">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.</dcterms:abstract> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:45:04Z</dc:date> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/565"/> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/565/1/409_1.pdf"/> <dc:creator>Zhou, Xun Yu</dc:creator> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:rights>terms-of-use</dc:rights> <dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/565/1/409_1.pdf"/> <dcterms:title>The Informed and Uninformed Agent´s Price of a Contingent Claim</dcterms:title> <dcterms:rights rdf:resource="https://kops.uni-konstanz.de/page/termsofuse"/> <dc:format>application/pdf</dc:format> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:45:04Z</dcterms:available> <dc:contributor>Kohlmann, Michael</dc:contributor> <dc:creator>Kohlmann, Michael</dc:creator> <dc:language>eng</dc:language> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> </rdf:Description> </rdf:RDF>

Dateiabrufe seit 01.10.2014 (Informationen über die Zugriffsstatistik)

409_1.pdf 78

Das Dokument erscheint in:

KOPS Suche


Stöbern

Mein Benutzerkonto