5 citations · 8 across the 5 of their papers we have counts for
6 papers
Insider trading in discrete time Kyle games
Christoph Kühn, Christopher Lorenz
We present a new discrete time version of Kyle's (1985) classic model of insider trading, formulated as a generalised extensive form game. The model has three kinds of traders: an…
The fundamental theorem of asset pricing with and without transaction costs
Christoph Kühn
We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no-arbitrage condition and that is applicable to both frictionl…
Semimartingale price systems in models with transaction costs beyond efficient friction
Christoph Kühn, Alexander Molitor
A standing assumption in the literature on proportional transaction costs is efficient friction. Together with robust no free lunch with vanishing risk, it rules out strategies of…
Nash equilibria for game contingent claims with utility-based hedging
Klebert Kentia, Christoph Kühn
Game contingent claims (GCCs) generalize American contingent claims by allowing the writer to recall the option as long as it is not exercised, at the price of paying some penalty.…
Modeling capital gains taxes for trading strategies of infinite variation
Christoph Kühn, Björn Ulbricht
In this article we show that the payment flow of a linear tax on trading gains from a security with a semimartingale price process can be constructed for all càglàd and adapted tra…
Optimal Liquidity Provision
Christoph Kühn, Johannes Muhle-Karbe
A small investor provides liquidity at the best bid and ask prices of a limit order market. For small spreads and frequent orders of other market participants, we explicitly determ…