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arXiv · 1808.03186

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

Ayelet Amiran·Fabrice Baudoin·Skylyn Brock·Berend Coster·Ryan Craver·Ugonna Ezeaka·Phanuel Mariano·Mary Wishart
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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.

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Ayelet Amiran, Fabrice Baudoin, Skylyn Brock, Berend Coster, Ryan Craver, Ugonna Ezeaka, Phanuel Mariano, Mary Wishart. 2018-08-09. The financial value of knowing the distribution of stock prices in discrete market models. https://doi.org/10.2140/involve.2019.12.883

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