Цена внезапного раскрытия инсайдерской информации на фондовом рынке
We consider a discrete model of insider trading in terms of repeated games with incomplete information. The solution of the bidding game of beforehand unlimited duration was obtained by V. Domansky (2007). Insider's optimal strategy in the infinite stage game generates the simple random walk of posterior probabilities over the lattice l/m, l=0,...,m with absorption at the extreme points 0 and 1 and provides the expected gain 1/2 per step to insider. In this paper we calculate insider's profit in the game of any finite duration when he applies the strategy above. It is shown that this strategy is his epsilon-optimal strategy in n-stage game, where epsilon decreases exponentially. This means that the sequence of n-stage game values converges to the value of infinite game at least exponentially. The result obtained is interpreted as the loss of insider in the case of sudden disclosure of his private information. For the special case we compare obtained insider's profit with the exact game value (result of V. Kreps, 2009) and demonstrate that error term in the case of optimal insider's behaviour also decreases exponentially.