Risk neutral measures and asymmetrical information;Probabilités neutres au risque et asymétrie d'information

Comptes Rendus de l'Academie des Sciences - Series I: Mathematics

Volumn 329, Issue 11, 1999, Pages 1009-1014

  Grorud, Axel ^a   Pontier, Monique ^b  

^a AIX MARSEILLE UNIVERSITY   (France)

^b UNIVERSITÉ PAUL SABATIER   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033426736     PISSN: 07644442     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0764-4442(00)88628-0     Document Type: Article

References (12)

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10. Jeanblanc-Pique M., Pontier M., Optimal portfolio for a small investor in a market model with discontinuous prices, Appl. Math. Optim. 22 (1990) 287-310.
11. Protter P., Stochastic Integration and Differential Equations, Springer-Verlag, 1990.
12. Schweizer M., On the minimal martingale measure and the Föllmer-Schweizer decomposition, Stoch. Anal. and Appl. 13 (5) (1995) 573-599.