Finite utility on financial markets with asymmetric information and structure properties of the price dynamics

Stefan Ankirchner; Peter Imkeller

Annales de l'I.H.P. Probabilités et statistiques (2005)

  • Volume: 41, Issue: 3, page 479-503
  • ISSN: 0246-0203

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Ankirchner, Stefan, and Imkeller, Peter. "Finite utility on financial markets with asymmetric information and structure properties of the price dynamics." Annales de l'I.H.P. Probabilités et statistiques 41.3 (2005): 479-503. <http://eudml.org/doc/77855>.

@article{Ankirchner2005,
author = {Ankirchner, Stefan, Imkeller, Peter},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {insider trading; enlargement of filtration; free lunch with vanishing risk; (NFLVR); arbitrage; finite expected utility; semimartingale; stochastic integrator; information drift},
language = {eng},
number = {3},
pages = {479-503},
publisher = {Elsevier},
title = {Finite utility on financial markets with asymmetric information and structure properties of the price dynamics},
url = {http://eudml.org/doc/77855},
volume = {41},
year = {2005},
}

TY - JOUR
AU - Ankirchner, Stefan
AU - Imkeller, Peter
TI - Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2005
PB - Elsevier
VL - 41
IS - 3
SP - 479
EP - 503
LA - eng
KW - insider trading; enlargement of filtration; free lunch with vanishing risk; (NFLVR); arbitrage; finite expected utility; semimartingale; stochastic integrator; information drift
UR - http://eudml.org/doc/77855
ER -

References

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