Anticipative information in a Brownian-Poisson market: the binary information Working Papers uri icon

authors

  • D AURIA, BERNARDO
  • SALMERON GARRIDO, JOSE ANTONIO

publication date

  • 2021

series title

  • Working paper Statistics and Econometrics

series number

  • 21-08

subjects

  • Statistics

keywords

  • optimal portfolio; malliavin calculus; clark-ocone formula; insider information; value of the information