OPTION PRICING IN MARKETS WITH INFORMED TRADERS
From MaRDI portal
Publication:5148004
DOI10.1142/S0219024920500375zbMath1457.91378arXiv2006.02596OpenAlexW3040730846MaRDI QIDQ5148004
No author found.
Publication date: 29 January 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.02596
Related Items
Cites Work
- The Pricing of Options and Corporate Liabilities
- On a non-classical invariance principle
- Entropy and uncertainty
- Option pricing in fractional Brownian markets
- Continuous auctions and insider trading: uniqueness and risk aversion
- Arbitrage in fractional Brownian motion models
- Multi-purpose binomial model: fitting all moments to the underlying geometric Brownian motion
- Stock prices-inflation puzzle and the predictability of stock market returns
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
- Long memory in continuous-time stochastic volatility models
- On derivatives with illiquid underlying and market manipulation
- Continuous Auctions and Insider Trading
- Long-Term Memory in Stock Market Prices
- Empirical properties of asset returns: stylized facts and statistical issues
- Financial Modelling with Jump Processes
- Basic Principles and Applications of Probability Theory
- Insider Trading With a Random Deadline
- Brownian Motion in the Stock Market
- Information in Securities Markets: Kyle Meets Glosten and Milgrom
- Elements of Information Theory
- Long memory and regime switching
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: OPTION PRICING IN MARKETS WITH INFORMED TRADERS
