Market-making strategy with asymmetric information and regime-switching

DOI10.1016/j.jedc.2018.04.003zbMath1401.91600MaRDI QIDQ1657343

Tak Kuen Siu, Wai-Ki Ching, Qing-Qing Yang, Jia-Wen Gu

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2018.04.003

zbMATH Keywords

regime shifts; asymmetric information; information delay; optimal market-marking strategies; triggering events

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

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