QUANTILE HEDGING FOR AN INSIDER
Abstract: In this paper we consider the problem of the quantile hedging from the point of view of
a better informed agent acting on the market. The additional knowledge of the agent is
modelled by a filtration initially enlarged by some random variable. By using equivalent
martingale measures introduced in  and  we solve the problem for the complete case, by
extending the results obtained in  to the insider context. Finally, we consider the
examples with the explicit calculations within the standard Black–Scholes model.
2000 AMS Mathematics Subject Classification: Primary: 60H30; Secondary:
Keywords and phrases: Insider trading, quantile hedging, initial enlargement of
filtrations, equivalent martingale measure.