Incomplete markets with jumps and informed agents

An asset is considered whose logarithmic price is the sum of a drift term, a Brownian motion and jumps of a Poisson process. Various items of future information about the price process are considered available to an informed agent. The optimal attainable wealths of both informed and uninformed agents are compared in the case where the informed agent knows the total number of jumps. Copyright Springer-Verlag Berlin Heidelberg 1999

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Year of publication:	1999
Authors:	Elliott, Robert J. ; Jeanblanc, Monique
Published in:	Computational Statistics. - Springer. - Vol. 50.1999, 3, p. 475-492
Publisher:	Springer
Subject:	Poisson process \| insider trading \| investment/consumption optimization

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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