Seminar at SMU Delhi

March 20, 2019 (Wednesday) , 3:30 PM at Webinar
Speaker: Neda Esmaeeli, University of Isfahan, Iran
Title: American Contingent Claims with Asymmetric Information and RBSDE
Abstract of Talk
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 $\mathbb{F}$ and the buyer's information flow is modeled by an initial enlargement of the filtration $\mathbb{F}.$ 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). This is a joint work with Professor Peter Imkeller.