American options with asymmetric information and reflected BSDE
We consider an American contingent claim on a financial market where the buyer has additional information. Both agents (seller and buyer) observe the same prices, while the information available to them may differ due to some extra exogenous knowledge the buyer has. The buyer's information flow...
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| Veröffentlicht in: | Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability 2018-05, Vol.24 (2), p.1394-1426 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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