General equilibrium pricing with information asymmetry
نویسندگان
چکیده
منابع مشابه
General equilibrium pricing with information asymmetry
We propose a general equilibrium model for asset pricing that incorporates asymmetric information as the key element determining security prices. In our setting, the concepts of completeness, arbitrage, state price and equivalent martingale measure are extended to the case of asymmetric information. Our model shows that in a so-called quasi-complete market, agents with differential information ...
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ژورنال
عنوان ژورنال: Frontiers in Applied Mathematics and Statistics
سال: 2015
ISSN: 2297-4687
DOI: 10.3389/fams.2015.00008