KYLE–BACK’S MODEL WITH A RANDOM HORIZON
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Publication:4634642
DOI10.1142/S0219024918500164zbMath1395.91435OpenAlexW2789783682MaRDI QIDQ4634642
José Manuel Corcuera, Giulia Di Nunno
Publication date: 11 April 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024918500164
stochastic controlsemimartingalesequilibriuminsider tradingmarket microstructureenlargement of filtrations
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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