The financial value of knowing the distribution of stock prices in discrete market models
The financial value of knowing the distribution of stock prices in discrete market models
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DOI：
10.2140/involve.2019.12.883
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发表时间：
2018-08
期刊：
影响因子：
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通讯作者：
Ayelet Amiran;Fabrice Baudoin;S. Brock;Berend Coster;Ryan Craver;Ugonna Ezeaka;Phanuel Mariano;Mary Wishart
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文献类型：
--
作者：
Ayelet Amiran;Fabrice Baudoin;S. Brock;Berend Coster;Ryan Craver;Ugonna Ezeaka;Phanuel Mariano;Mary Wishart
一个明确的公式推导出弱信息的离散时间模型，适用于广泛的效用函数，包括对数和幂效用的价值。我们假设一个完整的市场，有有限数量的资产和有限数量的可能结果。显式计算是针对包含两项资产的二项式模型进行的。三项模型的情况下进行了讨论。
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.