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An Anticipating Calculus Approach to the Utility Maximization of an Insider


  • Jorge A. León
  • Reyla Navarro
  • David Nualart


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  • Jorge A. León & Reyla Navarro & David Nualart, 2003. "An Anticipating Calculus Approach to the Utility Maximization of an Insider," Mathematical Finance, Wiley Blackwell, vol. 13(1), pages 171-185.
  • Handle: RePEc:bla:mathfi:v:13:y:2003:i:1:p:171-185

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    Cited by:

    1. Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens, 2011. "Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(1), pages 93-120, August.
    2. Anne Eyraud-Loisel, 2013. "Quadratic hedging in an incomplete market derived by an influent informed investor," Post-Print hal-00450949, HAL.
    3. Edward Hoyle & Andrea Macrina & Levent A. Menguturk, 2017. "Markov-Modulated Information Flows," Papers 1708.06948,
    4. Christian-Oliver Ewald & Aihua Zhang, 2006. "A new technique for calibrating stochastic volatility models: the Malliavin gradient method," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 147-158.
    5. Peng, Xingchun & Wang, Wenyuan, 2016. "Optimal investment and risk control for an insurer under inside information," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 104-116.

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