Informed traders' hedging with news arrivals

DOI10.1016/j.jspi.2015.11.006zbMath1337.91111OpenAlexW2225853081MaRDI QIDQ282886

Kiseop Lee, Sang-Hyeon Park

Publication date: 12 May 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2015.11.006

zbMATH Keywords

hedgingincomplete marketinformation asymmetrylocal risk minimization

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Bond prices under information asymmetry and a short rate with instantaneous feedback ⋮ Numerical study for European option pricing equations with non-levy jumps

Cites Work

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