Multidimensional Kyle-Back model with a risk averse informed trader
Probability
2021-11-04 v1 Pricing of Securities
Abstract
We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck equation and a system of partial differential equations that are coupled with an optimal transport type constraint at maturity.
Keywords
Cite
@article{arxiv.2111.01957,
title = {Multidimensional Kyle-Back model with a risk averse informed trader},
author = {Shreya Bose and Ibrahim Ekren},
journal= {arXiv preprint arXiv:2111.01957},
year = {2021}
}