Incomplete markets with jumps and informed agents

Robert J. Elliott and Monique Jeanblanc

Mathematical Methods of Operations Research, 1999, vol. 50, issue 3, 475-492

Abstract: An asset is considered whose logarithmic price is the sum of a drift term, a Brownian motion and jumps of a Poisson process. Various items of future information about the price process are considered available to an informed agent. The optimal attainable wealths of both informed and uninformed agents are compared in the case where the informed agent knows the total number of jumps. Copyright Springer-Verlag Berlin Heidelberg 1999

Keywords: Key words: Poisson process; insider trading; investment/consumption optimization (search for similar items in EconPapers)
Date: 1999
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DOI: 10.1007/s001860050082

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