Download This PaperAn Anticipating Calculus Approach to the Utility Maximization of an Insider
15 Pages Posted: 19 Jan 2003
Abstract
In this paper we consider a financial market with an insider that has, at time t = 0, some additional information of the whole developing of the market. We use the forward integral, which is an anticipating integral, and the techniques of the Malliavin calculus so that we can take advantage of the privileged information to maximize the expected logarithmic utility from terminal wealth.
Suggested Citation: Suggested Citation
León Vázquez, Jorge Alberto and Navarro, Reyla and Nualart, David, An Anticipating Calculus Approach to the Utility Maximization of an Insider. Available at SSRN: https://ssrn.com/abstract=371405
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