Comparison of insiders' optimal strategies depending on the type of side-information
AbstractIn this paper, we consider a complete continuous-time financial market with discontinuous prices and different types of side-information (initial or progressive strong information, weak information). The agents strive to maximize the expectation of the logarithm of their terminal wealth. Our purpose is to explicit and to simulate the optimal strategy of the insiders in some examples of side-information. We compare those optimal strategies, depending on the type of side-information.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 115 (2005)
Issue (Month): 10 (October)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Working Papers hal-00457456, HAL.
- Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Papers 1002.3256, arXiv.org.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.