Information on jump sizes and hedging
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Publication:2811114
DOI10.1080/17442508.2014.895356zbMATH Open1337.62328OpenAlexW2078140838MaRDI QIDQ2811114FDOQ2811114
Authors: Wanmo Kang, Kiseop Lee 
Publication date: 10 June 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2014.895356
Recommendations
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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- Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
- A general stochastic calculus approach to insider trading
- Continuous Auctions and Insider Trading
- Insiders' hedging in a jump diffusion model
- Optimal Smooth Portfolio Selection for an Insider
- Risk minimization with incomplete information in a model for high-frequency data
- Sur l'int�grabilit� uniforme des martingales exponentielles
- Minimal martingale measures for jump diffusion processes
Cited In (4)
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