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dc.contributor.authorAase, Knut K.
dc.contributor.authorBjuland, Terje
dc.contributor.authorØksendal, Bernt
dc.date.accessioned2013-01-30T12:09:24Z
dc.date.accessioned2014-09-23T08:01:44Z
dc.date.available2013-01-30T12:09:24Z
dc.date.available2014-09-23T08:01:44Z
dc.date.issued2012
dc.identifier.citationAfrika Matematika 2012;23:145-162nb_NO
dc.identifier.issn1012-9405
dc.identifier.urihttp://hdl.handle.net/11250/221031
dc.description.abstractThe continuous-time version of Kyle’s (Econometrica 53(6):1315–1336, 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.nb_NO
dc.language.isoengnb_NO
dc.publisherSpringernb_NO
dc.rightsNavngivelse-Ikkekommersiell-DelPåSammeVilkår 3.0 Norge*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/no/*
dc.subjectinsider tradingnb_NO
dc.subjectequilibriumnb_NO
dc.subjectstrategic tradenb_NO
dc.subjectlinear filter theorynb_NO
dc.subjectinnovation equationnb_NO
dc.titleStrategic insider trading equilibrium: A filter theory approachnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.date.updated2013-01-30T12:09:24Z
dc.source.pagenumber145-162nb_NO
dc.source.volume23nb_NO
dc.source.journalAfrika Matematikanb_NO
dc.source.issue2nb_NO
dc.identifier.doi10.1007/s13370-011-0026-x
dc.identifier.cristin999163


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