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The value of informational arbitrage - MaRDI portal

The value of informational arbitrage (Q2308171)

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English
The value of informational arbitrage
scientific article

    Statements

    title
    The value of informational arbitrage (English)
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    author
    Huy N. Chau
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    Andrea Cosso
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    Claudio Fontana
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    publication date
    25 March 2020
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    zbMATH Keywords
    value of information
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    enlargement of filtration
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    arbitrage
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    indifference price
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    martingale representation
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    cites work
    Q3562499
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    Q3870083
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    Q4274285
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    Q3684922
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    Q4778955
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    Q4213413
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60G44
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    91B44
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    zbMATH DE Number
    7182405
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    OpenAlex ID
    W3006350087
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    arXiv ID
    1804.00442
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