Quantile hedging for an insider

  1. Przemysław Klusik
  2. Zbigniew Palmowski
  3. Jakub Zwierz

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 [1] and [2] we solve the problem for the complete case, by extending the results obtained in [4] to the insider context. Finally, we consider the examples with the explicit calculations within the standard Black–Scholes model.
2000 AMS Mathematics Subject Classification: Primary: 60H30; Secondary: 60G44.

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This article

Probability and Mathematical Statistics

30, z. 2, 2010

Pages from 247 to 258

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