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Multidimensional Kyle-Back model with a risk averse informed trader
Published 3 Nov 2021 in math.PR and q-fin.PR | (2111.01957v1)
Abstract: We study the continuous time Kyle-Back model with a risk averse informed trader.We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker-Planck equation and a system of partial differential equations that are coupled with an optimal transport type constraint at maturity.
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