Hata, Hiroaki; Kohatsu-Higa, Arturo - In: Quantitative Finance 13 (2013) 3, pp. 421-437
In this article, we consider a modification of the Karatzas--Pikovsky model of insider trading. Specifically, we suppose that the insider agent influences the long/medium-term evolution of Black--Scholes type model through the drift of the stochastic differential equation. We say that the...