Comparison of insiders' optimal strategies depending on the type of side-information (Q2568298): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Comparison of insiders' optimal strategies depending on the type of side-information |
scientific article |
Statements
Comparison of insiders' optimal strategies depending on the type of side-information (English)
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10 October 2005
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The paper calculates the optimal strategy of insiders for their logarithmic wealth in complete continuous-time markets with discontinuous prices and special cases of side information.
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Strong and weak information
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Risk neutral probability measure and minimal probability measure
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Simulation
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