Elimination of arbitrage states in asymmetric information models

Bernard Cornet and Lionel de Boisdeffre ()
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Lionel de Boisdeffre: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium prices are determined, may still refine their information by eliminating sequentially "arbitrage state(s)", namely, the state (s) which would grant the agent an arbitrage, if realizable. This article provides a dual behavior of the one studied in Cornet and De Boisdeffre (2002).

Keywords: information revealed by prices; Arbitrage; incomplete markets; asymmetric information; information revealed by prices.; Marchés incomplets; information asymétrique; opportunité d'arbitrage. (search for similar items in EconPapers)
Date: 2009-12
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00441895
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Citations: View citations in EconPapers (69)

Published in 2009

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Related works:
Journal Article: Elimination of arbitrage states in asymmetric information models (2009)
Working Paper: Elimination of arbitrage states in asymetric information models (2009)
Working Paper: Elimination of arbitrage states in asymmetric information models (2009)
Working Paper: Elimination of arbitrage states in asymetric information models (2009)
Working Paper: Elimination of arbitrage states in asymetric information models (2009)
Working Paper: Elimination of Arbitrage States in Asymmetric Information Models (2009)
Working Paper: Elimination of arbitrage states in asymmetric information models (2009)
Working Paper: ELIMINATION OF ARBITRAGE STATES IN ASYMMETRIC INFORMATION MODELS (2005)
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