Publication Date: 2019
Bulletin Of The Iranian Mathematical Society (10186301)45(1)pp. 283-301
We consider a Dynkin game where the seller possesses additional information compared to the buyer. The additional information is described by a random variable taking finitely many values. We show that the game possesses a value and we provide a necessary and sufficient condition for the existence of a Nash equilibrium. Results are illustrated with an explicit example. © 2018, Iranian Mathematical Society.
Publication Date: 2018
Bernoulli (13507265)24(2)pp. 1394-1426
We consider an American contingent claim on a financial market where the buyer has additional information. Both agents (seller and buyer) observe the same prices, while the information available to them may differ due to some extra exogenous knowledge the buyer has. The buyer's information flow is modeled by an initial enlargement of the reference filtration. It seems natural to investigate the value of the American contingent claim with asymmetric information. We provide a representation for the cost of the additional information relying on some results on reflected backward stochastic differential equations (RBSDE). This is done by using an interpretation of prices of American contingent claims with extra information for the buyer by solutions of appropriate RBSDE. © 2018 ISI/BS.
