OPTION HEDGING BY AN INFLUENT INFORMED INVESTOR

Anne Eyraud-Loisel ()
Additional contact information
Anne Eyraud-Loisel: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

Post-Print from HAL

Abstract: In this paper a model with an influent and informed investor is presented from a hedging point of view. The financial agent is supposed to possess an additional information, and is also supposed to influence the market prices. The problem is modeled by a forward-backward stochastic differential equation (FBSDE), to be solved under an initial enlargement of the Brownian filtration. An existence and uniqueness Theorem is proved under standard assummptions. The financial interpretation is derived, together with an example of such influenced informed model.

Keywords: martingale representation; Enlargement of filtration; FBSDE; insider trading; influent investor; asymmetric information; martingale representation. (search for similar items in EconPapers)
Date: 2011-04-05
Note: View the original document on HAL open archive server: https://hal.science/hal-00450948v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Applied Stochastic Models in Business and Industry, 2011, ⟨10.1002/asmb.889⟩

Downloads: (external link)
https://hal.science/hal-00450948v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00450948

DOI: 10.1002/asmb.889

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().