American options with asymmetric information and reflected BSDE

DOI10.3150/16-BEJ902zbMath1417.91497arXiv1505.05046MaRDI QIDQ2405223

Peter Imkeller, Neda Esmaeeli

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.05046

zbMATH Keywords

asymmetric informationinitial enlargement of filtrationsreflected BSDEAmerican contingent claimscost of information

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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On the value of non-Markovian Dynkin games with partial and asymmetric information ⋮ Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information ⋮ A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations ⋮ Dynkin game with asymmetric information ⋮ The strong predictable representation property in initially enlarged filtrations under the density hypothesis

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