A discontinuous mispricing model under asymmetric information
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Publication:319248
DOI10.1016/J.EJOR.2014.12.045zbMATH Open1346.91199OpenAlexW2169311171MaRDI QIDQ319248FDOQ319248
Authors: Winston Buckley, Hongwei Long 
Publication date: 6 October 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.2014.12.045
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Cited In (10)
- Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
- EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS
- A jump model for fads in asset prices under asymmetric information
- m-Double Poisson Lévy markets
- Asymmetric information in fads models
- Modeling and forecasting exchange rate volatility in time-frequency domain
- It takes all sorts: a heterogeneous agent explanation for prediction market mispricing
- A mispricing model of stocks under asymmetric information
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
- Modelling fundamental analysis in portfolio selection
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