Insiders’ hedging in a stochastic volatility model

DOI10.1093/IMAMAN/DPU023zbMath1433.91179OpenAlexW2017780964MaRDI QIDQ5382691

Sang-Hyeon Park, Kiseop Lee

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpu023

zbMATH Keywords

hedgingincomplete marketstochastic volatilityinformation asymmetryinsider

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Economics of information (91B44)

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