Studying anticipation on financial markets via BSDEs with random terminal time

DOI10.1515/ROSE.2008.002zbMath1194.91178MaRDI QIDQ5324851

Mohamed El Otmani, Khadija Akdim

Publication date: 8 August 2009

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

zbMATH Keywords

insider tradingAmerican optionBSDErandom terminal timeenlarged filtrationasymmetrical information

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

BSDEs with random terminal time under enlarged filtration. American-style options hedging by an insider

Cites Work

• Adapted solution of a backward stochastic differential equation
• Stability of BSDEs with random terminal time and homogenization of semilinear elliptic PDEs
• A monetary value for initial information in portfolio optimization
• Studying anticipation on financial markets by BSDE
• Insider Trading in a Continuous Time Market Model
• Anticipative portfolio optimization
• Backward Stochastic Differential Equations in Finance
• BSDE<scp>s</scp> with a random terminal time driven by a monotone generator and their links with PDE<scp>s</scp>