Markets with asymmetric information and minimal martingale measure

zbMATH Open1349.91111MaRDI QIDQ2990761FDOQ2990761

Authors: Jianqi Yang 

Publication date: 10 August 2016

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zbMATH Keywords

asymmetric informationlocal martingaleno-arbitrageminimal martingale measure

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44)

Cited In (4)

• Permutation betting markets: singleton betting with extra information
• Martingale measures in the market with restricted information
• Market-making strategy with asymmetric information and regime-switching
• Description martingale measures for a single evolution of risky assets

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