The financial value of knowing the distribution of stock prices in discrete market models.

@article{Amiran2018TheFV,
title={The financial value of knowing the distribution of stock prices in discrete market models.},
author={Ayelet Amiran and Fabrice Baudoin and S. Brock and Berend Coster and Ryan Craver and Ugonna Ezeaka and Phanuel Mariano and Mary B. Wishart},
journal={arXiv: Mathematical Finance},
year={2018}
}

An explicit formula is derived for the value of weak information in a discrete time model that works for a wide range of utility functions including the logarithmic and power utility. We assume a complete market with a finite number of assets and a finite number of possible outcomes. Explicit calculations are performed for a binomial model with two assets. The case of trinomial models is also discussed.