The financial value of knowing the distribution of stock prices in discrete market models

An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of assets and a finite number of possible outcomes. Explicit calcul...

Full description

Saved in:
Bibliographic Details
Published in:arXiv.org 2018-08
Main Authors: Amiran, Ayelet, Baudoin, Fabrice, Brock, Skylyn, Coster, Berend, Craver, Ryan, Ezeaka, Ugonna, Phanuel Mariano, Wishart, Mary
Format: Article
Language:English
Subjects:
Markets
Pricing
Stock prices
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
cited_by
cites
container_end_page
container_issue
container_start_page
container_title arXiv.org
container_volume
creator Amiran, Ayelet
Baudoin, Fabrice
Brock, Skylyn
Coster, Berend
Craver, Ryan
Ezeaka, Ugonna
Phanuel Mariano
Wishart, Mary
description An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of assets and a finite number of possible outcomes. Explicit calculations are performed for a binomial model with two assets. The case of trinomial models is also discussed.
doi_str_mv 10.48550/arxiv.1808.03186
format article
fullrecord <record><control><sourceid>proquest</sourceid><recordid>TN_cdi_proquest_journals_2092784745</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2092784745</sourcerecordid><originalsourceid>FETCH-LOGICAL-a525-6af437917a93072e837c8b82d9547d109157c4c82c998b55a1e0ffaa537a00a23</originalsourceid><addsrcrecordid>eNotzc1KAzEUhuEgCJbaC3AXcD315K9JllL8g4Kb2bgqp5mMpp0mNclUL98Wu_oWD3wvIXcM5tIoBQ-Yf8NxzgyYOQhmFldkwoVgjZGc35BZKVsA4AvNlRIT8tF-edqHiNEFHOgRh9HT1NNdTD8hftJ64i6UmsNmrCHFs5Wa3I4ecnC-0BDP7rKvnu4x73yl-9T5odyS6x6H4meXnZL2-aldvjar95e35eOqQcVVs8BeCm2ZRitAc2-EdmZjeGeV1B0Dy5R20hnurDUbpZB56HtEJTQCIBdTcv9_e8jpe_SlrrdpzPFUXHOwXBuppRJ_VxxTbA</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2092784745</pqid></control><display><type>article</type><title>The financial value of knowing the distribution of stock prices in discrete market models</title><source>ProQuest - Publicly Available Content Database</source><creator>Amiran, Ayelet ; Baudoin, Fabrice ; Brock, Skylyn ; Coster, Berend ; Craver, Ryan ; Ezeaka, Ugonna ; Phanuel Mariano ; Wishart, Mary</creator><creatorcontrib>Amiran, Ayelet ; Baudoin, Fabrice ; Brock, Skylyn ; Coster, Berend ; Craver, Ryan ; Ezeaka, Ugonna ; Phanuel Mariano ; Wishart, Mary</creatorcontrib><description>An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of assets and a finite number of possible outcomes. Explicit calculations are performed for a binomial model with two assets. The case of trinomial models is also discussed.</description><identifier>EISSN: 2331-8422</identifier><identifier>DOI: 10.48550/arxiv.1808.03186</identifier><language>eng</language><publisher>Ithaca: Cornell University Library, arXiv.org</publisher><subject>Markets ; Pricing ; Stock prices</subject><ispartof>arXiv.org, 2018-08</ispartof><rights>2018. This work is published under http://arxiv.org/licenses/nonexclusive-distrib/1.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.</rights><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://www.proquest.com/docview/2092784745?pq-origsite=primo$$EHTML$$P50$$Gproquest$$Hfree_for_read</linktohtml><link.rule.ids>780,784,25753,27925,37012,44590</link.rule.ids></links><search><creatorcontrib>Amiran, Ayelet</creatorcontrib><creatorcontrib>Baudoin, Fabrice</creatorcontrib><creatorcontrib>Brock, Skylyn</creatorcontrib><creatorcontrib>Coster, Berend</creatorcontrib><creatorcontrib>Craver, Ryan</creatorcontrib><creatorcontrib>Ezeaka, Ugonna</creatorcontrib><creatorcontrib>Phanuel Mariano</creatorcontrib><creatorcontrib>Wishart, Mary</creatorcontrib><title>The financial value of knowing the distribution of stock prices in discrete market models</title><title>arXiv.org</title><description>An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of assets and a finite number of possible outcomes. Explicit calculations are performed for a binomial model with two assets. The case of trinomial models is also discussed.</description><subject>Markets</subject><subject>Pricing</subject><subject>Stock prices</subject><issn>2331-8422</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2018</creationdate><recordtype>article</recordtype><sourceid>PIMPY</sourceid><recordid>eNotzc1KAzEUhuEgCJbaC3AXcD315K9JllL8g4Kb2bgqp5mMpp0mNclUL98Wu_oWD3wvIXcM5tIoBQ-Yf8NxzgyYOQhmFldkwoVgjZGc35BZKVsA4AvNlRIT8tF-edqHiNEFHOgRh9HT1NNdTD8hftJ64i6UmsNmrCHFs5Wa3I4ecnC-0BDP7rKvnu4x73yl-9T5odyS6x6H4meXnZL2-aldvjar95e35eOqQcVVs8BeCm2ZRitAc2-EdmZjeGeV1B0Dy5R20hnurDUbpZB56HtEJTQCIBdTcv9_e8jpe_SlrrdpzPFUXHOwXBuppRJ_VxxTbA</recordid><startdate>20180809</startdate><enddate>20180809</enddate><creator>Amiran, Ayelet</creator><creator>Baudoin, Fabrice</creator><creator>Brock, Skylyn</creator><creator>Coster, Berend</creator><creator>Craver, Ryan</creator><creator>Ezeaka, Ugonna</creator><creator>Phanuel Mariano</creator><creator>Wishart, Mary</creator><general>Cornell University Library, arXiv.org</general><scope>8FE</scope><scope>8FG</scope><scope>ABJCF</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BGLVJ</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>HCIFZ</scope><scope>L6V</scope><scope>M7S</scope><scope>PIMPY</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope><scope>PTHSS</scope></search><sort><creationdate>20180809</creationdate><title>The financial value of knowing the distribution of stock prices in discrete market models</title><author>Amiran, Ayelet ; Baudoin, Fabrice ; Brock, Skylyn ; Coster, Berend ; Craver, Ryan ; Ezeaka, Ugonna ; Phanuel Mariano ; Wishart, Mary</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-a525-6af437917a93072e837c8b82d9547d109157c4c82c998b55a1e0ffaa537a00a23</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2018</creationdate><topic>Markets</topic><topic>Pricing</topic><topic>Stock prices</topic><toplevel>online_resources</toplevel><creatorcontrib>Amiran, Ayelet</creatorcontrib><creatorcontrib>Baudoin, Fabrice</creatorcontrib><creatorcontrib>Brock, Skylyn</creatorcontrib><creatorcontrib>Coster, Berend</creatorcontrib><creatorcontrib>Craver, Ryan</creatorcontrib><creatorcontrib>Ezeaka, Ugonna</creatorcontrib><creatorcontrib>Phanuel Mariano</creatorcontrib><creatorcontrib>Wishart, Mary</creatorcontrib><collection>ProQuest SciTech Collection</collection><collection>ProQuest Technology Collection</collection><collection>Materials Science &amp; Engineering Collection</collection><collection>ProQuest Central (Alumni)</collection><collection>ProQuest Central</collection><collection>ProQuest Central Essentials</collection><collection>AUTh Library subscriptions: ProQuest Central</collection><collection>Technology Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central</collection><collection>SciTech Premium Collection</collection><collection>ProQuest Engineering Collection</collection><collection>Engineering Database</collection><collection>ProQuest - Publicly Available Content Database</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><collection>Engineering collection</collection><jtitle>arXiv.org</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Amiran, Ayelet</au><au>Baudoin, Fabrice</au><au>Brock, Skylyn</au><au>Coster, Berend</au><au>Craver, Ryan</au><au>Ezeaka, Ugonna</au><au>Phanuel Mariano</au><au>Wishart, Mary</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The financial value of knowing the distribution of stock prices in discrete market models</atitle><jtitle>arXiv.org</jtitle><date>2018-08-09</date><risdate>2018</risdate><eissn>2331-8422</eissn><abstract>An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of assets and a finite number of possible outcomes. Explicit calculations are performed for a binomial model with two assets. The case of trinomial models is also discussed.</abstract><cop>Ithaca</cop><pub>Cornell University Library, arXiv.org</pub><doi>10.48550/arxiv.1808.03186</doi><oa>free_for_read</oa></addata></record>
fulltext fulltext
identifier EISSN: 2331-8422
ispartof arXiv.org, 2018-08
issn 2331-8422
language eng
recordid cdi_proquest_journals_2092784745
source ProQuest - Publicly Available Content Database
subjects Markets
Pricing
Stock prices
title The financial value of knowing the distribution of stock prices in discrete market models
url http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-27T10%3A08%3A08IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=The%20financial%20value%20of%20knowing%20the%20distribution%20of%20stock%20prices%20in%20discrete%20market%20models&rft.jtitle=arXiv.org&rft.au=Amiran,%20Ayelet&rft.date=2018-08-09&rft.eissn=2331-8422&rft_id=info:doi/10.48550/arxiv.1808.03186&rft_dat=%3Cproquest%3E2092784745%3C/proquest%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-a525-6af437917a93072e837c8b82d9547d109157c4c82c998b55a1e0ffaa537a00a23%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=2092784745&rft_id=info:pmid/&rfr_iscdi=true