EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Insider's hedging"
Narrow search

Narrow search

Year of publication
Subject
All
Forward integral 1 Incomplete market 1 Insider's hedging 1 Jump diffusion 1 Malliavin calculus 1 insider hedging 1 mean-variance insider hedging 1 minimal variance 1
more ... less ...
Online availability
All
Undetermined 2
Type of publication
All
Article 2
Language
All
Undetermined 2
Author
All
BIAGINI, FRANCESCA 1 Lee, Kiseop 1 Song, Seongjoo 1 ØKSENDAL, BERNT 1
Published in...
All
International Journal of Theoretical and Applied Finance (IJTAF) 1 Quantitative Finance 1
Source
All
RePEc 2
Showing 1 - 2 of 2
Cover Image
MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
BIAGINI, FRANCESCA; ØKSENDAL, BERNT - In: International Journal of Theoretical and Applied … 09 (2006) 08, pp. 1351-1375
In this paper, we first study the problem of minimal hedging for an insider trader in incomplete markets. We use the forward integral in order to model the insider portfolio and consider a general larger filtration. We characterize the optimal strategy in terms of a martingale condition. In the...
Persistent link: https://www.econbiz.de/10005060218
Saved in:
Cover Image
Insiders' hedging in a jump diffusion model
Lee, Kiseop; Song, Seongjoo - In: Quantitative Finance 7 (2007) 5, pp. 537-545
find an optimal hedging strategy for insiders. We also numerically compare the value of the insider's hedging portfolio …
Persistent link: https://www.econbiz.de/10005495739
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...