A mispricing model of stocks under asymmetric information
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Publication:1926893
DOI10.1016/j.ejor.2012.03.026zbMath1253.91175arXiv1101.1148OpenAlexW1994517055MaRDI QIDQ1926893
Garfield O. Brown, Winston S. Buckley, Mario Marshall
Publication date: 29 December 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1101.1148
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Economics of information (91B44)
Related Items (7)
A jump model for fads in asset prices under asymmetric information ⋮ A discontinuous mispricing model under asymmetric information ⋮ Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets ⋮ Modelling fundamental analysis in portfolio selection ⋮ It takes all sorts: a heterogeneous agent explanation for prediction market mispricing ⋮ m-Double Poisson Lévy markets ⋮ Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
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