Insiders' hedging in a jump diffusion model
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Publication:5433099
DOI10.1080/14697680601043191zbMath1151.91523OpenAlexW2016454673MaRDI QIDQ5433099
Publication date: 19 December 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680601043191
Related Items (11)
Informed traders' hedging with news arrivals ⋮ Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models ⋮ Bond prices under information asymmetry and a short rate with instantaneous feedback ⋮ Comparison of numerical methods on pricing equations with non-Lévy jumps ⋮ Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility ⋮ Risk Minimization for a Filtering Micromovement Model of Asset Price ⋮ Hedging of contingent claims written on non traded assets under Markov-modulated models ⋮ Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model ⋮ Information on jump sizes and hedging ⋮ Numerical study for European option pricing equations with non-levy jumps ⋮ Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering
Cites Work
- The Pricing of Options and Corporate Liabilities
- Option hedging for semimartingales
- Mean-variance hedging for general claims
- Pricing contingent claims on stocks driven by Lévy processes
- Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading
- Additional utility of insiders with imperfect dynamical information
- Martingale representation theorems for initially enlarged filtrations.
- Free lunch and arbitrage possibilities in a financial market model with an insider.
- A general stochastic calculus approach to insider trading
- Risk Minimization with Incomplete Information in a Model for High-Frequency Data
- A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
- Mean-Variance Hedging When There Are Jumps
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