Portfolio optimization and contingent claim pricing with differential information
Elliott, R.J. and Geman, Hélyette 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.
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: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Sarah Hall |
| Date Deposited: | 23 Jun 2020 06:45 |
| Last Modified: | 02 Aug 2023 18:00 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/32344 |
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