Arbitrage and utility maximization in market models with an insider
Huy N. Chau, Wolfgang J. Runggaldier, Peter Tankov
| Year of publication: |
September 2018
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| Authors: | Chau, Huy N. ; Runggaldier, Wolfgang J. ; Tankov, Peter |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 12.2018, 4, p. 589-614
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| Subject: | Initial enlargement of filtration | Optimal arbitrage | No unbounded profits with bounded risk | Incomplete markets | Hedging | Utility maximization | Unvollkommener Markt | Incomplete market | Arbitrage | Portfolio-Management | Portfolio selection | Arbitrage Pricing | Arbitrage pricing | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-018-0217-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011963883