The value of insider information for super-replication with quadratic transaction costs-Reference-Cited by-同舟云学术

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The value of insider information for super-replication with quadratic transaction costs

Published:2021-01 Issue: Volume:131 Page:394-416
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Dolinsky Yan,Zouari Jonathan

Funder

GIF, Israel

ISF, Israel

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference28 articles.

1. A monetary value for initial information in portfolio optimization;Amendinger;Finance Stoch.,2003

2. Additional logarithmic utility of an insider;Amendinger;Stochastic Process. Appl.,1998

3. The Shannon information of filtrations and the additional logarithmic utility of insiders;Ankirchner;Ann. Probab.,2006

4. Insider trading in continuous time;Back;Rev. Financ. Stud.,1992

5. K. Back, H. Pedersen, Long-lived information and intraday patterns, J. Financ. Mark. 1, 385–402.

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