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• W2011832285 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." @default.
• W2011832285 created "2016-06-24" @default.
• W2011832285 creator A5000596667 @default.
• W2011832285 creator A5021162696 @default.
• W2011832285 date "2010-01-01" @default.
• W2011832285 modified "2023-09-27" @default.
• W2011832285 title "BSDEs with random terminal time under enlarged filtration. American-style options hedging by an insider" @default.
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• W2011832285 doi "https://doi.org/10.1515/rose.2010.008" @default.
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