Option hedging by an influential informed investor
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Publication:2862441
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Cites work
- scientific article; zbMATH DE number 1323998 (Why is no real title available?)
- A monetary value for initial information in portfolio optimization
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
- Additional logarithmic utility of an insider
- Backward stochastic differential equations with enlarged filtration: Option hedging of an insider trader in a financial market with jumps
- Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
- Comportement des semi-martingales dans un grossissement de filtration
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
- FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- Hedging options for a large investor and forward-backward SDE's
- Insider Trading in a Continuous Time Market Model
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- Optimal consumption choices for a `large' investor
- Probabilités neutres au risque et asymétrie d'information
- Sur l'int�grabilit� uniforme des martingales exponentielles
Cited in
(8)- Informed traders' hedging with news arrivals
- Quadratic hedging in an incomplete market derived by an influential informed investor
- Robust Framework for Quantifying the Value of Information in Pricing and Hedging
- 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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