Option hedging by an influential informed investor
DOI10.1002/ASMB.889zbMATH Open1275.91089OpenAlexW3022578561MaRDI QIDQ2862441FDOQ2862441
Authors: Anne Eyraud-Loisel 
Publication date: 15 November 2013
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.889
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enlargement of filtrationmartingale representationasymmetric informationinsider tradingFBSDEinfluential investor
Filtering in stochastic control theory (93E11) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Economics of information (91B44)
Cites Work
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- A monetary value for initial information in portfolio optimization
- Additional logarithmic utility of an insider
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
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- Insider Trading in a Continuous Time Market Model
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
- Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- Hedging options for a large investor and forward-backward SDE's
- Optimal consumption choices for a `large' investor
- Probabilités neutres au risque et asymétrie d'information
- Sur l'int�grabilit� uniforme des martingales exponentielles
- Comportement des semi-martingales dans un grossissement de filtration
- Title not available (Why is that?)
- FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS
Cited In (7)
- Informed traders' hedging with news arrivals
- Quadratic hedging in an incomplete market derived by an influential informed investor
- BSDEs with random terminal time under enlarged filtration. American-style options hedging by an insider
- Semi-static completeness and robust pricing by informed investors
- How does asymmetric information create market incompleteness?
- FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS
- Information on jump sizes and hedging
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