Quadratic hedging in an incomplete market derived by an influential informed investor

DOI10.1080/17442508.2011.652632zbMath1285.91125OpenAlexW2235778353MaRDI QIDQ5411912

Anne Eyraud-Loisel

Publication date: 25 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.652632

zbMATH Keywords

asymmetric informationenlargement of filtrationinsider tradingrisk minimizationquadratic hedginginfluential investor

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

How does asymmetric information create market incompleteness?

Cites Work

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