Insiders' hedging in a jump diffusion model

DOI10.1080/14697680601043191MaRDI QIDQ5433099zbMATH OpenOpenAlexFDO

Authors Kiseop Lee, Seongjoo Song

Publication date 19 December 2007

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680601043191

zbMATH Keywords

incomplete marketinsider's hedgingjump diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A comparison of two quadratic approaches to hedging in incomplete markets
• A general stochastic calculus approach to insider trading
• Additional utility of insiders with imperfect dynamical information
• Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• Martingale representation theorems for initially enlarged filtrations.
• Mean-variance hedging for general claims
• Mean-Variance Hedging When There Are Jumps
• Option hedging for semimartingales
• Pricing contingent claims on stocks driven by Lévy processes
• Risk minimization with incomplete information in a model for high-frequency data
• The pricing of options and corporate liabilities

Cited in

(18)

• Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
• Bond prices under information asymmetry and a short rate with instantaneous feedback
• Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model
• Information on jump sizes and hedging
• Informed traders' hedging with news arrivals
• Quantile hedging for an insider
• Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models
• Comparison of numerical methods on pricing equations with non-Lévy jumps
• The value of insight
• Risk Minimization for a Filtering Micromovement Model of Asset Price
• A minimizing shortfall risk strategy for an insider
• Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility
• Numerical study for European option pricing equations with non-Levy jumps
• Insiders' hedging in a stochastic volatility model
• MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
• Some results on quadratic hedging with insider trading
• Hedging of contingent claims written on non traded assets under Markov-modulated models
• The insider trading problem in a jump-binomial model

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