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- W2016454673 abstract "In this paper, we formulate the optimal hedging problem when the underlying stock price has jumps, especially for insiders who have more information than the general public. The jumps in the underlying price process depend on another diffusion process, which models a sequence of firm-specific information. This diffusion process is observed only by insiders. Nevertheless, the market is incomplete to insiders as well as to the general public. We use the local risk minimization method to find an optimal hedging strategy for insiders. We also numerically compare the value of the insider's hedging portfolio with the value of an honest trader's hedging portfolio for a simulated sample path of a stock price." @default.
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- W2016454673 date "2007-10-01" @default.
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- W2016454673 title "Insiders' hedging in a jump diffusion model" @default.
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- W2016454673 doi "https://doi.org/10.1080/14697680601043191" @default.
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