Elimination of arbitrage states in asymmetric information models

Bernard Cornet and Lionel De Boisdeffre ()
Additional contact information
Lionel De Boisdeffre: INSEE and Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.cnrs.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: 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: 8 pages
Date: 2009-12
New Economics Papers: this item is included in nep-cta
References: Add references at CitEc
Citations: View citations in EconPapers (71)

Downloads: (external link)
ftp://mse.univ-paris1.fr/pub/mse/CES2009/09078.pdf (application/pdf)

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 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 ASYMMETRIC INFORMATION MODELS (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:09078

Access Statistics for this paper

More papers in Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Contact information at EDIRC.
Bibliographic data for series maintained by Lucie Label ().