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Mathematical Methods of Operations Research

, Volume 50, Issue 3, pp 475–492 | Cite as

Incomplete markets with jumps and informed agents

  • Robert J. Elliott
  • Monique Jeanblanc

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.

Key words: Poisson process insider trading investment/consumption optimization 

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Copyright information

© Springer-Verlag Berlin Heidelberg 1999

Authors and Affiliations

  • Robert J. Elliott
    • 1
  • Monique Jeanblanc
    • 2
  1. 1.Department of Mathematical Science, University of Alberta, 632 Central Academic Building, Edmonton, Alberta, Canada T6G 2G1 (e-mail: relliott@gpu.srv.ualberta.ca)CA
  2. 2.Equipe d'analyse et probabilités, Université d'Evry Val d'Essonne, Boulevard des coquibus, F-91025 Evry Cedex, France (e-mail: jeanbl@maths.univ-evry.fr)FR

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