Multidimensional Kyle-Back model with a risk averse informed trader

Autor:	Bose, Shreya, Ekren, Ibrahim
Rok vydání:	2021
Předmět:	Mathematics - Probability Quantitative Finance - Pricing of Securities
Druh dokumentu:	Working Paper
Popis:	We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck equation and a system of partial differential equations that are coupled with an optimal transport type constraint at maturity.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2111.01957 Zobrazit plný text záznamu View this record from Arxiv