Comparison of insiders' optimal strategies depending on the type of side-information
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References listed on IDEAS
- Amendinger, Jürgen & Imkeller, Peter & Schweizer, Martin, 1998. "Additional logarithmic utility of an insider," Stochastic Processes and their Applications, Elsevier, vol. 75(2), pages 263-286, July.
- Caroline Hillairet, 2005. "Existence Of An Equilibrium With Discontinuous Prices, Asymmetric Information, And Nontrivial Initial Σ-Fields," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 99-117.
- Amendinger, Jürgen, 2000. "Martingale representation theorems for initially enlarged filtrations," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 101-116, September.
- Amendinger, Jürgen & Imkeller, Peter & Schweizer, Martin, 1998. "Additional logarithmic utility of an insider," SFB 373 Discussion Papers 1998,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Robert J. Elliott & Monique Jeanblanc, 1999. "Incomplete markets with jumps and informed agents," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 50(3), pages 475-492, December.
- José Corcuera & Peter Imkeller & Arturo Kohatsu-Higa & David Nualart, 2004. "Additional utility of insiders with imperfect dynamical information," Finance and Stochastics, Springer, vol. 8(3), pages 437-450, August.
- repec:spr:compst:v:50:y:1999:i:3:p:475-492 is not listed on IDEAS
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Huy N. Chau & Andrea Cosso & Claudio Fontana, 2018. "The value of informational arbitrage," Papers 1804.00442, arXiv.org.
- Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Papers 1002.3256, arXiv.org.
- Caroline Hillairet & Ying Jiao, 2010. "Information Asymmetry in Pricing of Credit Derivatives," Working Papers hal-00457456, HAL.
More about this item
KeywordsStrong and weak information Risk neutral probability measure and minimal probability measure Optimal strategy Simulation;
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