Browsing Department of Business and Management Science by Subject "filtering theory"

Now showing items 1-2 of 2

    • Strategic insider trading equilibrium : a forward integration approach 

      Aase, Knut K.; Bjuland, Terje; Øksendal, Bernt (Discussion paper, Working paper, 2007-11)
      The continuous-time version of Kyle’s (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying noise trading, and by allowing the orders ...

    • Strategic Insider Trading in Continuous Time: A New Approach 

      Aase, Knut K.; Øksendal, Bernt (Discussion paper;3/19, Working paper, 2019-08-29)
      The continuous-time version of Kyle's (1985) model of asset pricing with asymmetric information is studied, and generalized by allowing time-varying noise trading. From rather simple assumptions we are able to derive the ...