Three aspects of mathematical models for asymmetric information in financial market
The thesis consists of three parts. The first part studies the Glosten-Milgrom model [25] where the risky asset value admits an arbitrary discrete distribution. In contrast to existing results on insider model, the insiders optimal strategy in this model, if it exists, is not of feedback type. There...
| Main Author: | |
|---|---|
| Published: |
London School of Economics and Political Science (University of London)
2016
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.692533 |