The value of foresight
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DOI: 10.1016/j.spa.2017.03.019
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- Philip Ernst & L. C. G. Rogers & Quan Zhou, 2016. "The value of foresight," Papers 1601.05872, arXiv.org, revised Jul 2016.
References listed on IDEAS
- Acciaio, Beatrice & Fontana, Claudio & Kardaras, Constantinos, 2016. "Arbitrage of the first kind and filtration enlargements in semimartingale financial models," Stochastic Processes and their Applications, Elsevier, vol. 126(6), pages 1761-1784.
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- Back, Kerry, 1992. "Insider Trading in Continuous Time," The Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 387-409.
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Cited by:
- José Manuel Corcuera & Giulia Nunno & José Fajardo, 2019. "Kyle equilibrium under random price pressure," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 77-101, June.
- Karen Grigorian & Robert A. Jarrow, 2023. "Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples," Papers 2303.03573, arXiv.org.
- José Manuel Corcuera & Giulia Di Nunno, 2018. "Kyle–Back’S Model With A Random Horizon," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-41, March.
- Philip A. Ernst & James R. Thompson & Yinsen Miao, 2017. "Tukey’s transformational ladder for portfolio management," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 317-355, August.
- Lee, Susan E. & Braithwaite, Peter & Leach, Joanne M. & Rogers, Chris D.F., 2016. "A comparison of energy systems in Birmingham, UK, with Masdar City, an embryonic city in Abu Dhabi Emirate," Renewable and Sustainable Energy Reviews, Elsevier, vol. 65(C), pages 1299-1309.
- Fabrice Baudoin & Oleksii Mostovyi, 2024. "The indifference value of the weak information," Papers 2408.02137, arXiv.org.
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Keywords
Explicit stopping rules; Excursion processes; Insider trading; Bermudan fixed-window lookback option; Brownian motion;All these keywords.
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