BSDEs with random terminal time under enlarged filtration. American-style options hedging by an insider
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Publication:3103217
DOI10.1515/ROSE.2010.008zbMath1226.91074MaRDI QIDQ3103217
Anne Eyraud-Loisel, Manuela Royer-Carenzi
Publication date: 26 November 2011
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
enlargement of filtrationinsider tradingBSDEuncertain time horizonAmerican option hedgingasymmetrical information
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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