Arbitrage and utility maximization in market models with an insider
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Publication:1670397
DOI10.1007/s11579-018-0217-4zbMath1396.91232arXiv1608.02068OpenAlexW2963585706WikidataQ129897536 ScholiaQ129897536MaRDI QIDQ1670397
Peter Tankov, Wolfgang J. Runggaldier, Huy N. Chau
Publication date: 5 September 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.02068
hedgingincomplete marketsutility maximizationoptimal arbitrageinitial enlargement of filtrationno unbounded profits with bounded risk
Utility theory (91B16) Martingales with continuous parameter (60G44) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items
Insiders and Their Free Lunches: The Role of Short Positions ⋮ Large Financial Markets, Discounting, and No Asymptotic Arbitrage ⋮ Filtration shrinkage, the structure of deflators, and failure of market completeness ⋮ Insider information and its relation with the arbitrage condition and the utility maximization problem ⋮ The value of informational arbitrage
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