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

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 contingent 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.

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Year of publication:	1999
Authors:	Kohlmann, Michael ; Zhou, Xun Yu
Publisher:	Konstanz : University of Konstanz, Center of Finance and Econometrics (CoFE)
Subject:	Optionspreistheorie \| Marktmikrostruktur \| Informationsökonomik \| Hedging \| Analysis \| Stochastischer Prozess \| Theorie

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Series:	CoFE Discussion Paper ; 99/11
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	870114700 [GVK] hdl:10419/85204 [Handle] RePEc:zbw:cofedp:9911 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010324069