HIGHLIGHTS
SUMMARY
The authors assume that there exists an agent who is informed about a random variable G ∈ FT containing some anticipative information about the path of W and/or N. The authors aim to compute E 1{JT ∈B} |Ft=P (JT -t - bt )+ > b1 - j | j=Jt - P (JT -t - bt )+ > b2 - j | j=Jt. In terms of the distribution function F N, can be simplified as follows, E 1{JT ∈B} |Ft=1{b1 -Jt ≥0} F TN-t (b1 - Ñt ) - 1 - 1{b2 -Jt ≥0} F TN-t (b2 - Ñt . . .
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