| Article ID: | iaor20003541 |
| Country: | Germany |
| Volume: | 50 |
| Issue: | 3 |
| Start Page Number: | 475 |
| End Page Number: | 492 |
| Publication Date: | Jan 1999 |
| Journal: | Mathematical Methods of Operations Research (Heidelberg) |
| Authors: | Elliott R.J., Jeanblanc M. |
| Keywords: | financial |
An asset is considered whose logarithmic price is the sum of a drift term, a Brownian motion and jumps of a Poisson process. Various items of future information about the price process are considered available to an informed agent. The optimal attainable wealths of both informed and uninformed agents are compared in the case where the informed agent knows the total number of jumps.