BIAGINI, FRANCESCA; ØKSENDAL, BERNT - In: International Journal of Theoretical and Applied … 09 (2006) 08, pp. 1351-1375
In this paper, we first study the problem of minimal hedging for an insider trader in incomplete markets. We use the forward integral in order to model the insider portfolio and consider a general larger filtration. We characterize the optimal strategy in terms of a martingale condition. In the...