| dc.contributor.author | Aase, Knut K. | |
| dc.contributor.author | Bjuland, Terje | |
| dc.contributor.author | Øksendal, Bernt | |
| dc.date.accessioned | 2010-11-14T20:31:05Z | |
| dc.date.available | 2010-11-14T20:31:05Z | |
| dc.date.issued | 2010-08 | |
| dc.identifier.issn | 1500-4066 | |
| dc.identifier.uri | http://hdl.handle.net/11250/164139 | |
| dc.description.abstract | 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 liquidity trading, and by having
weaker a priori assumptions on the model. This extension is made
possible by the use of filtering theory. We derive the optimal trade for
an insider and the corresponding price of the risky asset; the insider's
trading intensity satisfies a deterministic integral equation, given perfect
inside information. | en |
| dc.language.iso | eng | en |
| dc.publisher | Norwegian School of Economics and Business Administration. Department of Finance and Management Science | en |
| dc.relation.ispartofseries | Discussion paper | en |
| dc.relation.ispartofseries | 2010:9 | en |
| dc.subject | insider trading | en |
| dc.subject | strategic trade | en |
| dc.subject | linear filter theory | en |
| dc.subject | innovation equation | en |
| dc.title | Strategic insider trading equilibrium : a filter theory approach | en |
| dc.type | Working paper | en |
| dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Bedriftsøkonomi: 213 | en |
