Quantile hedging for an insider

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dc.creatorKlusik, Przemyslaw
dc.creatorPalmowski, Zbigniew
dc.creatorZwierz, Jakub
dc.date2008-11-23
dc.date.accessioned2026-07-07T12:08:04Z
dc.date.available2026-07-07T12:08:04Z
dc.descriptionIn 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{ö}llmer and Leukert (1999) to the insider context. Finally, we consider the examples with the explicit calculations within the standard Black-Scholes model.
dc.identifierhttps://arxiv.org/abs/0811.3749
dc.identifierhttp://arxiv.org/abs/0811.3749
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209190
dc.subjectProbability
dc.subjectPricing of Securities
dc.subject60H30
dc.titleQuantile hedging for an insider
dc.typetext

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