A jump model for fads in asset prices under asymmetric information
DOI10.1016/J.EJOR.2013.10.037zbMATH Open1338.91073OpenAlexW2075916105MaRDI QIDQ299877FDOQ299877
Authors: Hongwei Long, Winston Buckley, Sandun Perera 
Publication date: 23 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.10.037
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asymmetric informationasset pricingfadsinstantaneous centralized moments of return[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+jump+markets&go=Go L��vy jump markets]logarithmic utilities
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- A jump-diffusion model for option pricing
- Financial Modelling with Jump Processes
- Optimum consumption and portfolio rules in a continuous-time model
- Additional logarithmic utility of an insider
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- The Variance Gamma Process and Option Pricing
- Applied stochastic control of jump diffusions
- Title not available (Why is that?)
- Lévy Processes and Stochastic Calculus
- Option Pricing With V. G. Martingale Components1
- Empirical dynamic asset pricing: model specification and econometric assessment
- A mispricing model of stocks under asymmetric information
- A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
- The Present-Value Relation: Tests Based on Implied Variance Bounds
- Naive traders and mispricing in prediction markets
- A Model of Intertemporal Asset Prices Under Asymmetric Information
- Handbooks in operations research and management science: Financial engineering
- Exotic option pricing and advanced Lévy models.
- Asymmetric information in fads models
Cited In (8)
- Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
- A discontinuous mispricing model under asymmetric information
- m-Double Poisson Lévy markets
- Strategic trading with information acquisition and long-memory stochastic liquidity
- Asymmetric information in fads models
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
- Modelling fundamental analysis in portfolio selection
- Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
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