论文标题
凯尔·巴克（Kyle-back）模型有风险规避和非高斯信念
Kyle-Back Models with risk aversion and non-Gaussian Beliefs
论文作者
论文摘要
我们表明，可以通过考虑通过在成熟时的最佳传输类型约束耦合的前向后系统来解决凯尔连续时间内部交易模型中平衡的问题。正向分量是代表内源确定状态变量的随机微分方程，向后分量是代表定价函数的准抛物线方程。通过获得该系统溶液的随机表示形式，我们显示了解决方案的适当性，并研究了针对小的足够小风险厌恶参数获得的平衡的特性。在我们的模型中，内部人士具有指数类型的实用性，而做市商对最终价格分配的信念可能是非高斯的。
We show that the problem of existence of equilibrium in Kyle's continuous time insider trading model can be tackled by considering a forward-backward system coupled via an optimal transport type constraint at maturity. The forward component is a stochastic differential equation representing an endogenously determined state variable and the backward component is a quasilinear parabolic equation representing the pricing function. By obtaining a stochastic representation for the solution of such a system, we show the well-posedness of solutions and study the properties of the equilibrium obtained for small enough risk aversion parameter. In our model, the insider has exponential type utility and the belief of the market maker on the distribution of the price at final time can be non-Gaussian.
