Private information and the use of a so called 'information function'

Emmanuel Haven

No 113, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: The literature on private information as a source of trade is probably most well known via the seminal work by Jean Tirole and Paul Milgrom and Nancy Stokey. We consider an arbitrage opportunity to be the result of the existence of such private information. We are interested to propose a model which can accommodate the presence of arbitrage. A major ingredient in our proposed model is the concept of ‘information function’. We discuss in detail some of the characteristics of this function and propose how it can be used, amongst other uses in an arbitrage based option pricing model.

Keywords: private information; 'information' function (search for similar items in EconPapers)
JEL-codes: D82 G12 (search for similar items in EconPapers)
Date: 2006-07-04
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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:sce:scecfa:113

Access Statistics for this paper

More papers in Computing in Economics and Finance 2006 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().