Quantcast
Channel: MoneyScience: MoneyScience's news channel - arXiv > Recent Papers in Quant Finance
Viewing all articles
Browse latest Browse all 2696

The financial value of knowing the distribution of stock prices in discrete market models. (arXiv:1808.03186v1 [q-fin.MF])

$
0
0

An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of assets and a finite number of possible outcomes. Explicit calculations are performed for a binomial model with two assets. The case of trinomial models is also discussed.


Viewing all articles
Browse latest Browse all 2696

Trending Articles