Cho, Kyung-Ha - In: Finance and Stochastics 7 (2003) 1, pp. 47-71
The Kyle (1985) and Back (1992) model of continuous-time asset pricing with asymmetric information is studied. A larger class of price processes is considered, namely price processes that allow the price to depend in a certain way on the path of the market order. A no expected (or inconspicuous...