Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2007
The continuous-time version of Kyle’s (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying noise trading, and by allowing the orders of the noise traders to be correlated with the insider’s signal. From...