Malliavin's calculus in insider models: Additional utility and free lunches
Year of publication: |
2002
|
---|---|
Authors: | Imkeller, Peter |
Institutions: | Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät |
Subject: | insider trading | enlargement of filtrations | Malliavin's calculus | free lunch | arbitrage | equivalent martingale measure | Bessel process |
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