Option hedging by an influential informed investor

DOI10.1002/ASMB.889zbMath1275.91089OpenAlexW3022578561MaRDI QIDQ2862441

Anne Eyraud-Loisel

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.889

zbMATH Keywords

asymmetric informationenlargement of filtrationinsider tradingmartingale representationFBSDEinfluential investor

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Applications of stochastic analysis (to PDEs, etc.) (60H30) Economics of information (91B44) Portfolio theory (91G10)

Related Items (2)

Quadratic hedging in an incomplete market derived by an influential informed investor ⋮ How does asymmetric information create market incompleteness?

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