The Informed and Uniformed 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:	1999-05
Authors:	Kohlmann, Michael ; Zhou, Xun Yu
Institutions:	Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften

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Extent:	application/pdf
Series:	CoFE Discussion Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 99-11 17 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005562302