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Elimination of Arbitrage States in Asymmetric Information Models

Bernard Cornet and Lionel Boisdeffre
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Lionel Boisdeffre: INSEE, Paris and Universite de Paris 1

No 200912, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics

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.

Keywords: Arbitrage; Incomplete markets; Asymmetric information; Information revealed by prices (search for similar items in EconPapers)
JEL-codes: D52 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2009-12, Revised 2009-12
New Economics Papers: this item is included in nep-cta and nep-dge
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Citations: View citations in EconPapers (70)

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