American Contingent Claims with Asymmetric Information and RBSDE

We investigate an American contingent claim on a financial market where the buyer has additional information compared to the seller. The reference information flow is denoted by the filtration F and the buyer’s information flow is modeled by an initial enlargement of the filtration F. We provide a formula for the value of an American contingent claim with extra information in a suitable product space. Then we obtain a representation for this value relying on the solution of reflected backward stochastic differential equations (RBSDE).