Quantile hedging for an insider

Przemyslaw Klusik, Zbigniew Palmowski and Jakub Zwierz

Papers from arXiv.org

Abstract: In this paper we consider the problem of the quantile hedging from the point of view of a better informed agent acting on the market. The additional knowledge of the agent is modelled by a filtration initially enlarged by some random variable. By using equivalent martingale measures introduced in Amendinger (2000) and Amendinger, Imkeller and Schweizer (1998) we solve the problem for the complete case, by extending the results obtained in F{\"o}llmer and Leukert (1999) to the insider context. Finally, we consider the examples with the explicit calculations within the standard Black-Scholes model.

Date: 2008-11
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/0811.3749 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0811.3749

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().