The insider trading problem in a jump-binomial model
Résumé
We study insider trading in a jump-binomial model of the financial market that is based on a marked binomial process and that serves as a suitable alternative to some classical trinomial models. Our investigations focus on the two main questions: measuring the advantage of the insider's additional information and stating a closed form for her hedging strategy. Our approach is based on the results of enlargement of filtration in a discrete-time setting stated by Blanchet-Scalliet and Jeanblanc (in: From probability to finance, Springer, Berlin, 2020) and on a stochastic analysis for marked binomial processes developed in the companion paper (Halconruy in Electron J Probab 27:1-39, 2022). Our work provides in a discrete-time and an incomplete market setting the analogues of some results of Amendinger et al. (
Mots clés
Insider trading Trinomial model Enlargement of filtrations Malliavin's calculus Utility maximization JEL Classification G11 G14 C61 C02
Insider trading
Trinomial model
Enlargement of filtrations
Malliavin's calculus
Utility maximization JEL Classification G11
G14
C61
C02
Insider trading trinomial model enlargement of filtrations Malliavin's calculus utility maximization PACS 60J74 60G55 91G20 60H30 60H07 91G10 94A17. JEL Classification G11 G14 C61 C02
trinomial model
enlargement of filtrations
utility maximization PACS 60J74
60G55
91G20
60H30
60H07
91G10
94A17. JEL Classification G11
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H. Halconruy The insider trading problem in a jump-binomial model.pdf (768.13 Ko)
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