Informed traders' hedging with news arrivals

DOI10.1016/J.JSPI.2015.11.006zbMATH1337.91111OpenAlexW2225853081MaRDI 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

zbMATH Keywords

incomplete markethedginginformation asymmetrylocal risk minimization

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 17495 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 822726 (Why is no real title available?)
• A general stochastic calculus approach to insider trading
• A guided tour through quadratic hedging approaches
• Additional utility of insiders with imperfect dynamical information
• Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
• Free lunch and arbitrage possibilities in a financial market model with an insider.
• Hedging claims with feedback jumps in the price process
• Information on jump sizes and hedging
• Insiders' hedging in a jump diffusion model
• Martingale representation theorems for initially enlarged filtrations.
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Optimal Smooth Portfolio Selection for an Insider

Cited in

(8)

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

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