Portfolio optimization and contingent claim pricing with differential information

Elliott, R.J. and Geman, Helyette and Korkie, B.M. (1997) Portfolio optimization and contingent claim pricing with differential information. Stochastics and Stochastic Reports 60 (3-4), pp. 185-203. ISSN 1744-2508.

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Official URL: https://doi.org/10.1080/17442509708834105

Abstract

Using results on enlarged filtrations due to Jacod the authors consider a situation in which a risky asset price is driven by two independent Brownian motions. There are two agents in the market, an informed agent and an uninformed agent. The informed agent has advance information about one of the sources of noise in the risky asset's price. It is shown that while both agents assign the same price to options written on the risky asset, the maximum expected utility for the informed agent is greater than for the uninformed.

Metadata

Item Type:	Article
School:	School of Business, Economics & Informatics > Economics, Mathematics and Statistics
Depositing User:	Sarah Hall
Date Deposited:	23 Jun 2020 06:45
Last Modified:	23 Jun 2020 06:45
URI:	https://eprints.bbk.ac.uk/id/eprint/32344

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