Optimal portfolio for an insider in a market driven by Lévy processes§ (Q5475314)
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scientific article; zbMATH DE number 5033354
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio for an insider in a market driven by Lévy processes§ |
scientific article; zbMATH DE number 5033354 |
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Optimal portfolio for an insider in a market driven by Lévy processes§ (English)
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16 June 2006
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forward integral
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Malliavin derivative
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insider trading
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utility function
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enlargement of filtration
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