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 utility 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.
Citation
Ayelet Amiran. Fabrice Baudoin. Skylyn Brock. Berend Coster. Ryan Craver. Ugonna Ezeaka. Phanuel Mariano. Mary Wishart. "The financial value of knowing the distribution of stock prices in discrete market models." Involve 12 (5) 883 - 899, 2019. https://doi.org/10.2140/involve.2019.12.883
Information
