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Incomplete markets with jumps and informed agents

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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.

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Authors and Affiliations

  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

    Robert J. Elliott

  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

    Monique Jeanblanc

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  1. Robert J. Elliott
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  2. Monique Jeanblanc
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Manuscript received: March 1999/final version received: August 1999

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Elliott, R., Jeanblanc, M. Incomplete markets with jumps and informed agents. Mathematical Methods of OR 50, 475–492 (1999). https://doi.org/10.1007/s001860050082

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  • DOI: https://doi.org/10.1007/s001860050082

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