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Random Operators and Stochastic Equations

Editor-in-Chief: Girko, Vyacheslav

Managing Editor: Molchanov, S.

Editorial Board: Accardi, L. / Albeverio, Sergio / Carmona, R. / Casati, G. / Christopeit, N. / Domanski, C. / Drygas, Hilmar / Gupta, A.K. / Ibragimov, I. / Kirsch, Werner / Klein, A. / Kondratyev, Yuri / Kurotschka, V. / Leonenko, N. / Loubaton, Philippe / Orsingher, E. / Pastur, L. / Rodrigues, Waldyr A. / Shiryaev, Albert / Turbin, A.F. / Veretennikov, Alexandre


CiteScore 2018: 0.26

SCImago Journal Rank (SJR) 2018: 0.142
Source Normalized Impact per Paper (SNIP) 2018: 0.375

Mathematical Citation Quotient (MCQ) 2017: 0.12

Online
ISSN
1569-397X
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Volume 18, Issue 2

Issues

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

Anne Eyraud-Loisel
  • Université de Lyon, Université Lyon 1, ISFA, Laboratoire SAF, 50 avenue Tony Garnier, 69366 Lyon Cedex 07, France. E-mail:
  • Other articles by this author:
  • De Gruyter OnlineGoogle Scholar
/ Manuela Royer-Carenzi
  • LATP, UMR CNRS 6632 FR 3098 IFR 48, Evolution Biologique et Modélisation, Université de Provence 1 Case 19, Pl. V. Hugo, 13331 Marseille Cedex 03, France. E-mail:
  • Other articles by this author:
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Published Online: 2010-06-21 | DOI: https://doi.org/10.1515/rose.2010.008

Abstract

Markets with asymmetrical information are generally studied from a wealth optimization point of view. We focus here on a hedging problem for a financial agent who has an additional information on the market. We extend the results given for hedging strategies with fixed terminal time to the case of a random terminal time. In particular, we provide tools to understand the behavior of American option hedging by an insider. To achieve this aim, we prove the existence and uniqueness of backward stochastic differential equations solutions, when terminal time is random, under an initially enlarged filtration.

Keywords.: Enlargement of filtration; BSDE; uncertain time horizon; American option hedging; insider trading; asymmetrical information

About the article

Received: 2009-09-11

Revised: 2010-01-13

Published Online: 2010-06-21

Published in Print: 2010-06-01


Citation Information: Random Operators and Stochastic Equations, Volume 18, Issue 2, Pages 141–163, ISSN (Online) 1569-397x, ISSN (Print) 0926-6364, DOI: https://doi.org/10.1515/rose.2010.008.

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