Initial Enlargement in a Markov Chain Market Model

  • Dario Gasbarra
  • , Jose Igor Morlanes
  • , Esko Valkeila

Research output: Contribution to journalArticleScientificpeer-review

1 Citation (Scopus)
Original languageEnglish
Pages (from-to)389-413
JournalSTOCHASTICS AND DYNAMICS
Volume11
Issue number2-3
DOIs
Publication statusPublished - 2011
MoE publication typeA1 Journal article-refereed

Keywords

  • initial enlargement
  • insider information
  • jump times
  • Markov chain market model

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