Quantile hedging for an insider

zbMath1217.91171arXiv0811.3749MaRDI QIDQ3003680

Zbigniew Palmowski, Jakub Zwierz, Przemysław Klusik

Publication date: 30 May 2011

Full work available at URL: https://arxiv.org/abs/0811.3749

zbMATH Keywords

equivalent martingale measureinsider tradingquantile hedginginitial enlargement of filtrations

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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