Portfolio optimization and contingent claim pricing with differential information

DOI10.1080/17442509708834105zbMath0879.90032OpenAlexW2169662134MaRDI QIDQ4347778

Bob M. Korkie, Robert J. Elliott, Hélyette Geman

Publication date: 7 August 1997

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509708834105

zbMATH Keywords

differential informationportfolio optimizationenlargement of filtrationcontingent claim pricingrisky asset price

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

Related Items (7)

ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS ⋮ Enlargement of filtration on Poisson space: a Malliavin calculus approach ⋮ The value of foresight ⋮ Trading against disorderly liquidation of a large position under asymmetric information and market impact ⋮ Change of filtrations and mean–variance hedging ⋮ BSDEs driven by Lévy process with enlarged filtration and applications in finance ⋮ Additional logarithmic utility of an insider

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