ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS

Axel Grorud () and Monique Pontier ()
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Axel Grorud: U.M.R. CNRS 6632, C.M.I., Université de Provence, 39 rue Joliot-Curie, 13453 Marseille cedex 13, France
Monique Pontier: U.M.R. CNRS C 5583, Laboratoire de statistique et probabilités, Université Paul Sabatier, 118 route de Narbonne, 31 062 Toulouse cedex 04, France

International Journal of Theoretical and Applied Finance (IJTAF), 2001, vol. 04, issue 02, 285-302

Abstract: This paper is an extension of [13] where we have studied a financial market with informed and non-informed agents. The informed agent has an initial insider information. We analyze the completeness of the market and the family of risk-neutral probabilities. Some cases of arbitrage opportunities are done.

Date: 2001
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DOI: 10.1142/S0219024901000961

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