A simple comparison between Skorokhod & Russo-Vallois integration for insider trading
Probability
2018-04-20 v2
Abstract
We consider a simplified version of the problem of insider trading in a financial market. We approach it by means of anticipating stochastic calculus and compare the use of the Skorokhod and the Russo-Vallois forward integrals within this context. We conclude that, while the forward integral yields results with a clear financial meaning, the Skorokhod integral does not provide a suitable formulation for this problem.
Keywords
Cite
@article{arxiv.1704.05014,
title = {A simple comparison between Skorokhod & Russo-Vallois integration for insider trading},
author = {Carlos Escudero},
journal= {arXiv preprint arXiv:1704.05014},
year = {2018}
}