A simple comparison between Skorokhod & Russo-Vallois integration for insider trading. Issue 3 (4th May 2018)

• Record Type: Journal Article
• Authors: Escudero, Carlos
• Is Part Of: Stochastic analysis and applications. Volume 36:Issue 3(2018)
• Page Start: 485
• Page End: 494
• Publication Date: 2018-05-04
• Subjects: Insider trading -- Skorokhod integral -- Russo-Vallois forward integral -- anticipating stochastic calculus; 60H05 -- 60H07 -- 60H10 -- 60H30 -- 91G80; Stochastic analysis -- Periodicals; 519.2205
• DOI: 10.1080/07362994.2017.1423231
• Languages: English
• ISSNs: 0736-2994

Abstract

ABSTRACT: We consider a simplified version of the problem of insider trading in a financial market. We approach it by means of anticipating stochastic calculus and compare the use of the Skorokhod and the Russo-Vallois forward integrals within this context. We conclude that, while the forward integral yields results with a clear financial meaning, the Skorokhod integral does not provide a suitable formulation for this problem.