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arXiv · 1704.05014

A simple comparison between Skorokhod & Russo-Vallois integration for insider trading

Carlos Escudero
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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.

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Carlos Escudero. 2017-04-17. A simple comparison between Skorokhod & Russo-Vallois integration for insider trading. https://arxiv.org/abs/1704.05014

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