Contingent Claims with Asymmetric information
کد مقاله : 1109-FEMATH (R1)
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چکیده مقاله:
We investigate an American and game contingent claimnon a financial market with asymmetric information. In any stochastic games,n the decisions of the players are made basednon the information available to them. In a perfect information game,nall players have full knowledge. In this paper, we consider a situationnin which one party has additional information compared to the othernone.While the latter makes his decisions based on the public information flow F = (Ft)t∈[0,T], the informed player possesses the additionalninformation modeled by some random variable G known to him fromnthe very beginning. Thus the information flow G = (Gt)t∈[0,T] of theninformed player is given by the initial enlargement of F with G i.e.. We providena representation for the value of an American contingent claim in ansuitable product space. In the case of game contingent claim, thenadditional information is described by a random variable takingncountably finite values. We show that the game possesses a value.
کلیدواژه ها:
Contingent claims, Asymmetric information, Initial enlargement of filtrations.
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