The value of insider information for super-replication with quadratic transaction costs
نویسندگان
چکیده
We study super-replication of European contingent claims in an illiquid market with insider information. Illiquidity is captured by quadratic transaction costs and information modeled investor who can peek into the future. Our main result describes scaling limit prices when number trading periods increases to infinity. Moreover, gives us asymptotic value being insider.
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2021
ISSN: ['1879-209X', '0304-4149']
DOI: https://doi.org/10.1016/j.spa.2020.09.016