On Pricing Rules and Optimal Strategies in General Kyle--Back Models

DOI10.1137/20M1319267zbMath1475.91336arXiv1812.07529MaRDI QIDQ5163681

Umut Çetin, Albina Danilova

Publication date: 5 November 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.07529

zbMATH Keywords

asymmetric informationdiffusion bridgesKyle-Back equilibrium

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15)

Related Items

Trading Constraints in Continuous-Time Kyle Models, Kyle-back models with risk aversion and non-Gaussian beliefs

Cites Work

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