شماره ركورد كنفرانس :
4255
عنوان مقاله :
CONTINGENT CLAIMS WITH ASYMMETRIC INFORMATION
پديدآورندگان :
اسماعيلي ندا n_esmaili@mehr.sharif.ir دانشجو
كليدواژه :
Contingent claims , Asymmetric information , Initial enlargement of filtrations.
عنوان كنفرانس :
چهارمين همايش رياضيات و علوم انساني
چكيده فارسي :
We investigate an American and game contingent claim
on a financial market where one party has additional information
compared to the other one. We provide a representation for the
value of an American contingent claim in a suitable product space.
In the case of game contingent claim, the additional information is
described by a random variable taking countably finite values. We
show that the game possesses a value.