The insider trading problem in a jump-binomial model

Hélène Halconruy ()
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Hélène Halconruy: IP Paris - Institut Polytechnique de Paris, TSP - CITI - Communications, Images et Traitement de l'Information - IMT - Institut Mines-Télécom [Paris] - TSP - Télécom SudParis - IP Paris - Institut Polytechnique de Paris, SOP - SAMOVAR - Statistiques, Optimisation, Probabilités - SAMOVAR - Services répartis, Architectures, MOdélisation, Validation, Administration des Réseaux - IMT - Institut Mines-Télécom [Paris] - TSP - Télécom SudParis - IP Paris - Institut Polytechnique de Paris, MODAL'X - Modélisation aléatoire de Paris X - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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Abstract: We study insider trading in a jump-binomial model of the financial market that is based on a marked binomial process and that serves as a suitable alternative to some classical trinomial models. Our investigations focus on the two main questions: measuring the advantage of the insider's additional information and stating a closed form for her hedging strategy. Our approach is based on the results of enlargement of filtration in a discrete-time setting stated by Blanchet-Scalliet and Jeanblanc (in: From probability to finance, Springer, Berlin, 2020) and on a stochastic analysis for marked binomial processes developed in the companion paper (Halconruy in Electron J Probab 27:1-39, 2022). Our work provides in a discrete-time and an incomplete market setting the analogues of some results of Amendinger et al. (

Keywords: Insider trading Trinomial model Enlargement of filtrations Malliavin's calculus Utility maximization JEL Classification G11 G14 C61 C02; Insider trading; Trinomial model; Enlargement of filtrations; Malliavin's calculus; Utility maximization JEL Classification G11; G14; C61; C02; Insider trading trinomial model enlargement of filtrations Malliavin's calculus utility maximization PACS 60J74 60G55 91G20 60H30 60H07 91G10 94A17. JEL Classification G11 G14 C61 C02; trinomial model; enlargement of filtrations; utility maximization PACS 60J74; 60G55; 91G20; 60H30; 60H07; 91G10; 94A17. JEL Classification G11 (search for similar items in EconPapers)
Date: 2023-12
New Economics Papers: this item is included in nep-upt
Note: View the original document on HAL open archive server: https://hal.science/hal-04346427v1
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Published in Decisions in Economics and Finance, 2023, 46 (2), pp.379-413. ⟨10.1007/s10203-023-00412-2⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04346427

DOI: 10.1007/s10203-023-00412-2

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