Informed traders' hedging with news arrivals

DOI10.1016/J.JSPI.2015.11.006zbMATH Open1337.91111OpenAlexW2225853081MaRDI QIDQ282886FDOQ282886

Authors: Sang-Hyeon Park, Kiseop Lee 

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

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zbMATH Keywords

incomplete markethedginginformation asymmetrylocal risk minimization

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Additional utility of insiders with imperfect dynamical information
• A guided tour through quadratic hedging approaches
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Martingale representation theorems for initially enlarged filtrations.
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
• A general stochastic calculus approach to insider trading
• Hedging claims with feedback jumps in the price process
• Information on jump sizes and hedging
• Insiders' hedging in a jump diffusion model
• Optimal Smooth Portfolio Selection for an Insider

Cited In (8)

• Numerical study for European option pricing equations with non-Levy jumps
• Informed Trading and Portfolio Returns
• Insiders' hedging in a jump diffusion model
• Partially informed noise traders
• Bond prices under information asymmetry and a short rate with instantaneous feedback
• Information on jump sizes and hedging
• How news affects the trading behaviour of different categories of investors in a financial market
• News About News: Information Arrival and Irreversible Investment

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