Insider Trading with Semi-Informed Traders and Information Sharing: The Stackelberg Game

Autor: Wassim Daher, Fida Karam, Naveed Ahmed

Publikováno v: Mathematics, Vol 11, Iss 22, p 4580 (2023)

This paper presents a financial Stackelberg game model with two partially informed risk neutral insiders. Each insider receives a private signal about the stock value and competes with the other insider under a Stackelberg setting. Linear strategies

Externí odkaz: https://doaj.org/article/777b7fd13fb340918a16b5fc8782e7ba

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Risk-Neutrality of RND and Option Pricing within an Entropy Framework

Autor: Xisheng Yu

Publikováno v: Entropy, Vol 22, Iss 8, p 836 (2020)

This article constructs an entropy pricing framework by incorporating a set of informative risk-neutral moments (RNMs) extracted from the market-available options as constraints. Within the RNM-constrained entropic framework, a unique distribution cl

Externí odkaz: https://doaj.org/article/4cf09bc94a1041e38e2de21b15fe945f

Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

Autor: Søren Asmussen, Mogens Bladt

Publikováno v: Asmussen, S & Bladt, M 2022, ' Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ', Quantitative Finance, vol. 22, no. 4, pp. 675-689 . https://doi.org/10.1080/14697688.2021.1998585

The Gram–Charlier expansion of a target probability density, (Formula presented.), is an (Formula presented.) -convergent series (Formula presented.) in terms of a reference density (Formula presented.) and its orthonormal polynomials (Formula pres

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c4efd992477f04daec2e0b920a84db09
https://doi.org/10.1080/14697688.2021.1998585